This study provides empirical evidence of the joint dynamics between stock returns and trading volume using stock data for DAX companies. Our research confirms the hypothesis that traditional linear causality tests often fail to detect some kinds of nonlinear relations, while nonlinear tests do not. In many cases, the test results obtained by use of empirical data and simulation confirm a bidirectional causal relationship, while linear tests did not detect such causality at all.DAX companies, stock returns, trading volume, linear and nonlinear causality, simulation

Henfryk Gurgul

lukasz Lach

Research Papers in Economics

English

A general test for Granger causality: Bivariate model,

A new statistic and practical guidelines for nonparametric Granger causality testing,

A note on the Hiemstra-Jones test for Granger non-causality,

Chaos, Explanation and Prediction in Economics and Finance,

Inference in linear time series models with some unit roots, Econometrica,

Investigating causal relations by econometric models and cross-spectral methods,

Linear and non-linear Granger causality: Evidence from the U.K. stock index futures market,

Linear Granger Causality in the Price-Volume Relation, Statistics in Transition,

New directions in econometric practice (2nd edn), Edward Elgar,

Non-linear Granger causality in the currency futures returns,

Returns, Return Volatility and Trading Volume – Empirical Evidence from the Austrian Stock Market,

Some properties of time series data and their use in econometric model specification,

Some recent developments in the concept of causality,

Spurious regression in econometrics,

Statistical inference in vector autoregressions with possibly integrated processes,

Stock prices and volume,

Testing for linear and nonlinear Granger causality in the stock pricevolume relation,

The dynamic relationship between stock returns and trading volume: Domestic and cross-country evidence,

The empirical relationship between trading volume, returns and volatility, Accounting and Finance,

Understanding the spurious regression in econometrics,

volume relations of DAX companies,

Linear versus nonlinear causalityfor dax companies