les cahiers du mecas
Volume 20, Numéro 1, Pages 1-11
2024-06-04
The Relationship Between Trading Volume, Stock Returns, And Volatility During The Covid-19 Period For The Shanghai Stock Exchange
Authors : Benkhedda Zineb . Benbouziane Mohamed .
Abstract
The financial markets have experienced notable fluctuations in stock prices and volume of trading, attributed to the spread of COVID-19, which affected the financial market worldwide. This research delves into the dynamics of the contemporaneous nexus between volume of trading, return, and volatility of the Shanghai Composite Index during COVID-19. The results reveal that Granger demonstrated that returns have a significant causal effect on volume of trading. The GARCH model shows positive and statistically significant parameters. However, the effect of today’s shock remains in the forecast of variance for many periods in the future. Additionally, Johansen cointegration shows that there is a presence of cointegration between the series, which is a long-run correlation between the variables.
Keywords
trading volume ; stock return ; information hypothesis ; Garch model ; Granger causality
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