The relationship between trading volume and stock price returns in the Philippine stock exchange

• Main Author: Alarcon, Denmark C.
• Format: text
• Published: Animo Repository 2012
• Subjects: Stocks—Prices; Stocks—Rate of return; Stock exchanges > Philippines; Finance and Financial Management
• Online Access: https://animorepository.dlsu.edu.ph/faculty_research/12050
• Institution: De La Salle University

The purpose of this paper was to examine the relationship between trading volume and stock price returns in the Philippine Stock Exchange. There were two sample sets used in this paper consisted of (a) thirty-four highly liquid listed stocks (HL Stocks) in the Philippine Stock Exchange from January 3, 2011 up to July 31, 2012 and (b) Philippine Stock Exchange index (PSEi) for the period covering August 2, 2010 up to July 31, 2012. The study revealed that there was no strong evidence to establish the relationship between trading volume and absolute stock price returns in the Philippine Stock Exchange. However, there were conflicting results in establishing relationship between trading volume and actual stock price returns in the bourse as HL Stock sample showed a negative relationship while PSEi sample failed to provide evidence of relationship. With regard to short run causality, Granger Causality Test was used. The results suggested that HL Stocks exhibited two-directional causality between volume and returns while PSEi indicated the existence of unidirectional causality that stock returns led volume.