Causality in quantiles and dynamic stock return–volume relations

By Chia-Chang Chuang, C. Kuan, Hsin-yi Lin. 2009

295 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/8e34c718a41471614640b5f2622741916423bf0d

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Citations in the corpus

Can volume predict Bitcoin returns and volatility? A quantiles-based approach (2017, unknown): “Indeed, certain studies, such as Chuang et al. (2009), Chiang and Li (2012), Gebka and Wohar (2013), Lin (2013), and Chen et al. (2016), have used quantile based methodologies to study the relationship between returns and volatility based on the volume of traditional stock indices of Pacific Basin…”
Do global factors impact BRICS stock markets? A quantile regression approach (2014, methodology): “…(e.g., Adrian and Brunnermeier, 2011) and bankruptcy prediction (e.g., Li and Miu, 2010) and to model dependence between financial variables (e.g., Bassett and Chen, 2001; Chuang et al., 2009; Baur et al., 2012; Lee and Li, 2012; Tsai, 2012; Ciner et al., 2013; Gebka and Wohar, 2013; among others).”
Stock Market Autoregressive Dynamics: A Multinational Comparative Study with Quantile Regression (2016, background): “[21] show that the influences of volume on return are usually heterogeneous across different quantiles and those of return on volume are more stable.”
Renewable energy, oil prices, and economic activity: A Granger-causality in quantiles analysis (2018, methodology): “To test for Granger-causality in quantiles between conomic variables, some studies applied the Sup-Wald test proposed by Koenker and Machado (1999) on the coefficients of a quantile regression model (see e.g., Chuang et al., 2009; Bastianin et al., 2014; Sim and Zhou, 2015).”
The Volatility of Capital Flows in Emerging Markets: Measures and Determinants (2017, background): “8 See Chuang et al. (2009) and Jinjarak et al. (2011) for an analysis of the relationship between stock returns and volumes. over a specified period.”
Stock Return Autocorrelations Revisited: A Quantile Regression Approach (2012, unknown): “Chuang et al. (2009) examine the dynamic relationship of the quantiles of stock market index returns and trading volume and find causal effects of volume to be heterogeneous across quantiles.”
Testing for Granger-causality in quantiles (2018, methodology): “Chuang et al. (2009) andYang et al. (2014) estimated the quantile causal eects by quantile regressions and tested the hypothesis of Granger noncausality by performing the Sup-Wald test of Koenker and Machado (1999) in all quantiles.”
Revisiting the empirical linkages between stock returns and trading volume (2012, methodology): “Eleanor Xu et al. (2006) use a time-consistent VAR model to test the dynamic return volatility-volume relationship, and find that volatility and volume are persistent and highly correlated with past volatility and volume.”