Another look at the asymmetric relationship between stock returns and trading volume: evidence from the Markov-switching model

IF 3.6 Q1 BUSINESS, FINANCE Review of Accounting and Finance Pub Date : 2023-12-15 DOI:10.1108/raf-02-2023-0045
Mondher Bouattour, Anthony Miloudi
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引用次数: 0

Abstract

Purpose

The purpose of this paper is to bridge the gap between the existing theoretical and empirical studies by examining the asymmetric return–volume relationship. Indeed, the authors aim to shed light on the return–volume linkages for French-listed small and medium-sized enterprises (SMEs) compared to blue chips across different market regimes.

Design/methodology/approach

This study includes both large capitalizations included in the CAC 40 index and listed SMEs included in the Euronext Growth All Share index. The Markov-switching (MS) approach is applied to understand the asymmetric relationship between trading volume and stock returns. The study investigates also the causal impact between stock returns and trading volume using regime-dependent Granger causality tests.

Findings

Asymmetric contemporaneous and lagged relationships between stock returns and trading volume are found for both large capitalizations and listed SMEs. However, the causality investigation reveals some differences between large capitalizations and SMEs. Indeed, causal relationships depend on market conditions and the size of the market.

Research limitations/implications

This paper explains the asymmetric return–volume relationship for both large capitalizations and listed SMEs by incorporating several psychological biases, such as the disposition effect, investor overconfidence and self-attribution bias. Future research needs to deepen the analysis especially for SMEs as most of the literature focuses on large capitalizations.

Practical implications

This empirical study has fundamental implications for portfolio management. The findings provide a deeper understanding of how trading activity impact current returns and vice versa. The authors’ results constitute an important input to build and control trading strategies.

Originality/value

This paper fills the literature gap on the asymmetric return–volume relationship across different regimes. To the best of the authors’ knowledge, the present study is the first empirical attempt to test the asymmetric return–volume relationship for listed SMEs by using an accurate MS framework.

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再看股票收益与交易量之间的非对称关系:来自马尔可夫转换模型的证据
目的通过对非对称收益-成交量关系的考察,弥补现有理论研究与实证研究之间的差距。事实上,作者的目的是阐明在法国上市的中小型企业(SMEs)与不同市场制度下的蓝筹股之间的回报-数量联系。设计/方法/方法本研究既包括纳入CAC 40指数的大型企业,也包括纳入泛欧交易所成长型全股指数的上市中小企业。应用马尔可夫转换方法来理解交易量与股票收益之间的不对称关系。本研究还利用制度相关的格兰杰因果检验调查了股票收益与交易量之间的因果关系。发现无论是大型企业还是上市中小企业,股票收益与交易量之间都存在不对称的同期和滞后关系。然而,因果关系调查揭示了大企业与中小企业之间的一些差异。事实上,因果关系取决于市场条件和市场规模。研究局限/启示本文结合处置效应、投资者过度自信和自我归因偏见等心理偏差,解释了大盘股和上市中小企业的非对称收益-量关系。未来的研究需要深化分析,特别是中小企业,因为大多数文献都集中在大型资本化。实践启示本实证研究对投资组合管理具有根本性的启示。这一发现让我们更深入地了解了交易活动如何影响当前回报,反之亦然。作者的研究结果为建立和控制交易策略提供了重要依据。原创性/价值本文填补了不同制度下非对称收益-数量关系的文献空白。据作者所知,本研究是第一次使用精确的质谱框架来检验上市中小企业的不对称回报-量关系的实证尝试。
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来源期刊
CiteScore
4.30
自引率
0.00%
发文量
18
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