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Publication Detail
DLSU-SOE-J/JA-2008-003: The Relationship between Stock Return Volatility and Trading Volume: The Case of the Philippines

This paper reconsiders the relationship between stock return volatility and trading volume. Based on the multi-factor stochastic volatility model for stock return, we suggest several specifications for the trading volume. This approach enables the unobservable information arrival to follow the ARMA process. We apply the model to the data of Philippine Stock Exchange Composite Index and find that two factors are adequate to describe the movements of stock return volatility and variance of trading volume. We also find that the weights for the factors of the return and volume models are different from each other. The empirical results show (i) a negative correlation between stock return volatility and variance of trading volume, and (ii) a lack of effect of information arrivals on the level of trading volume. These findings are contrary to the results for the equity markets of advanced countries.

DLSU - Angelo King Institute for Economic and Business Studies
Authors Keywords
Sullivan, Michael J.; Brookman, Jeffrey; Majadillas, Mary Anne; Taningco, Angelo; Unite, Angelo A.; firm performance; Executive Pay; pay-performance schemes;
Download PDF Number of Downloads
Published in 2008 and available for Downloaded 459 times since September 02, 2015
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