The study uses the OLS and VAR modeling approaches to examine the contemporaneous and dynamic (causal) relations between index returns and trading volume, respectively, while an EGARCH-X(1,1) model is used to analyze the volatility–volume relation. Second, the common characteristics of return volatility and third, the nature of the relation between trading volume and return volatility.
First, the return–volume relation and whether or not this relation is asymmetric. In particular, three main issues are examined using both aggregate market- and sector-level data. This study aims to revisit the stock price–volume relations, providing new evidence from the emerging market of Qatar.
