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The Dynamic Relationship Between Trading Volume, Stock Return, and Volatility-Domestic and Cross-Country : South Asian Markets
Finance, Accounting and Business Analysis
This paper examines the contemporaneous and dynamic relationships among trading volumes, stock returns and return volatility for three emerging markets in Southeast Asia, which are Malaysia, Indonesia and Singapore. Tests on both intra- and intermarket relationships between the variables are conducted to determine whether they are interrelated within the same market and across the markets. The paper also applies GARCH technique to model the volatility of returns for the three stock markets ofdoi:10.16408/faba.v1i1.11 doaj:34c670ac554841d99b54cb3b7754c004 fatcat:yk6zncppabcjljr5wc26zforhi