价量关系的不对称:基于在新兴股票市场交易的个别公司股票的证据

Applied Financial Economics Letters Pub Date : 2008-03-01 DOI:10.1080/17446540600993811

K. Al-Saad, I. Moosa

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引用次数: 6

摘要

我们使用在科威特证券交易所上市的36只个股的样本来检验价量关系的不对称性。为此，我们采用了一种非对称自回归分布滞后(ARDL)模型，该模型将交易量与积极和消极的价格变化联系起来。结果表明，存在一个强大的不对称价量关系，即交易量往往在上涨的市场高于下跌的市场。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Asymmetry in the price–volume relation: evidence based on individual company stocks traded in an emerging stock market

We test for asymmetry in the price–volume relation, using a sample of 36 individual stocks listed on the Kuwait stock exchange. For this purpose, we employ an asymmetric autoregressive distributed lag (ARDL) model that relates trading volume to positive and negative price changes. The results indicate the existence of a robust asymmetric price–volume relation whereby trading volume tends to be higher in a rising market than in a falling market.

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Applied Financial Economics Letters

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