Hostname: page-component-7b9c58cd5d-nzzs5 Total loading time: 0 Render date: 2025-03-15T00:35:33.498Z Has data issue: false hasContentIssue false
  • English
  • Français

The Dependence between Hourly Prices and Trading Volume

Published online by Cambridge University Press:  06 April 2009

Prem C. Jain  and
Gun-Ho Joh
Get access Rights & Permissions [Opens in a new window]

Abstract

This study provides evidence on joint characteristics of hourly common stock trading volume and returns on the New York Stock Exchange. Average volume traded shows significant differences across trading hours of the day and across days of the week. Average returns differ across hours of the day, and, to some extent, across days of the week. There is a strong contemporaneous relation between trading volume and returns and also a relation between trading volume and returns lagged up to four hours. Furthermore, the trading volume-returns relation is steeper for positive returns than for nonpositive returns.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 23 , Issue 3 , September 1988 , pp. 269 - 283
Copyright
Copyright © School of Business Administration, University of Washington 1988

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

Box, G. E. P., and Jenkins, G. M.. Time Series Analysis. San Francisco: Holden Day (1970).Google Scholar
Clark, P. K. “A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices.” Econometrica, 41 (01 1973), 135–155.CrossRefGoogle Scholar
Copeland, T. E. “A Model of Asset Trading under the Assumption of Sequential Information Arrival.” Journal of Finance, 31 (09 1976), 1149–1168.CrossRefGoogle Scholar
Cross, F. “The Behavior of Stock Prices on Fridays and Mondays.” Financial Analysts Journal, 29 (11–12 1973), 67–69.CrossRefGoogle Scholar
Crouch, R. L. “The Volume of Transactions and Price Changes on the New York Stock Exchange.” Financial Analysts Journal, 26 (07–08 1970), 104–109.CrossRefGoogle Scholar
Dimson, E. “Risk Measurement when Shares are Subject to Infrequent Trading.” Journal of Financial Economics, 7 (06 1979), 197–226.CrossRefGoogle Scholar
Epps, T. W. “Security Price Changes and Transaction Volumes: Theory and Evidence.” American Economic Review, 65 (09 1975), 586–597.Google Scholar
Epps, T. W., and Epps, M. L.. “The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis.” Econometrica, 44 (03 1976), 305–321.CrossRefGoogle Scholar
French, K. R. “Stock Returns and the Weekend Effect.” Journal of Financial Economics, 8 (03 1980), 55–69.CrossRefGoogle Scholar
Geweke, J.; Meese, R.; and Dent, W.. “Comparing Alternative Tests of Causality in Temporal Systems.” Journal of Econometrics, 21 (02 1983), 161–194.CrossRefGoogle Scholar
Gibbons, M. R., and Hess, P.. “Day of the Week Effects and Asset Returns.” Journal of Business, 54 (10 1981), 579–596.CrossRefGoogle Scholar
Grammatikos, T., and Saunders, A.. “Future Price Variability: A Test of Maturity and Volume Effect.” Journal of Business, 59 (04 1986), 319–330.CrossRefGoogle Scholar
Godfrey, M. D.; Granger, C. W. J.; and Morgenstern, O.. “The Random Walk Hypothesis of Stock Market Behavior.” Kyklos, 17 (Fasc. I 1964), 1–30.CrossRefGoogle Scholar
Granger, C. W. J., and Morgenstern, O.. “Spectral Analysis of New York Stock Market Prices.” Kyklos, 16 (Fasc. I 1963), 1–27.CrossRefGoogle Scholar
Harris, L. “A Transaction Data Study of Weekly and Intradaily Patterns in Stock Returns.” Journal of Financial Economics, 16 (05 1986), 99–117.CrossRefGoogle Scholar
Haugh, L. “Checking the Independence of Two Covariance Stationary Time Series: A Univariate Residual Cross-Correlation Approach.” Journal of the American Statistical Association, 71 (06 1976), 378–385.CrossRefGoogle Scholar
Jennings, R.; Starks, L.; and Fellingham, J.. “An Equilibrium Model of Asset Trading with Sequential Information Arrival.” Journal of Finance, 36 (03 1981), 143–161.CrossRefGoogle Scholar
Karpoff, J. M. “Costly Short Sales and the Correlation of Returns with Volume.” Working Paper, Univ. of Washington (1986).Google Scholar
Karpoff, J. M. “The Relation between Price Changes and Trading Volume: A Survey.” Journal of Financial and Quantitative Analysis, 22 (03 1987), 109–126.CrossRefGoogle Scholar
Lakonishok, J., and Vermaelen, T.. “Tax-Induced Trading around Ex-Dividend Days.” Journal of Financial Economics, 16 (07 1986), 287–319.CrossRefGoogle Scholar
Maddala, G. S.Econometrics. New York: McGraw Hill Book Co. (1977).Google Scholar
Rogalski, R. J. “The Dependence of Prices and Volume.” Review of Economics and Statistics, 60 (05 1978), 268–274.CrossRefGoogle Scholar
Rogalski, R. J. “New Findings Regarding Day-of-the-Week Returns over Trading and Non-Trading Periods: A Note.” Journal of Finance, 39 (12 1984), 1603–1614.Google Scholar
Scholes, M., and Williams, J.. “Estimating Betas from Nonsynchronous Data.” Journal of Financial Economics, 5 (12 1977), 309–327.CrossRefGoogle Scholar
Smirlock, M., and Starks, L.. “An Empirical Analysis of the Stock Price-Volume Relationship.” Working Paper, Univ. of Pennsylvania (1986).Google Scholar
Tauchen, G. E., and Pitts, M.. “The Price Variability-Volume Relationship on Speculative Markets.” Econometrica, 51 (03 1983), 485–505.CrossRefGoogle Scholar
Westerfield, R. “The Distribution of Common Stock Price Changes: An Application of Transactionsm Time and Subordinated Stochastic Models.” Journal of Financial and Quantitative Analysis, 12 (12 1977), 743–765.CrossRefGoogle Scholar
Wood, R. A.; Mclnish, T. H.; and Ord, J. K.. “An Investigation of Transactions Data for NYSE Stocks.” Journal of Finance, 40 (07 1985), 723–738.CrossRefGoogle Scholar
Ying, C. “Stock Market Prices and Volumes of Sales.” Econometrica, 34 (07 1966), 676–685.CrossRefGoogle Scholar