A critical review of the literature on security-price-changes-volume research suggests that the published studies in the United States and one each in Hong Kong and Japan have largely ignored the impacts on the results from autocorrelation, non-normality of distributions, heteroscedasticity and non-linear functional forms. Therefore, the reported findings are not robust. In testing for this relation from a small sample of continuously traded shares in the Singapore share market, we find that consistent results may not be obtained because of violations of basic test conditions. A task that remains is an application of alternative test models with data transformation using a larger sample.
Stocks prices, Investment banking, Correlation in Statistics, Analysis of variance, Least squares, Heteroscedasticity
Asian Studies | Finance and Financial Management | Portfolio and Security Analysis
Applied Financial Economics
Taylor and Francis
LEE, David K. C. and ARIFF, Mohamed.
Share-price-changes-volume relation on the Singapore equity market. (1993). Applied Financial Economics. 3, (4), 339-348. Research Collection Lee Kong Chian School Of Business.
Available at: http://ink.library.smu.edu.sg/lkcsb_research/3366
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