Empirical research on the SES price : volume relationship
This study examines the relationship between price changes and trading volume on the Stock Exchange of Singapore (SES). Using daily share prices of SES All-Share index and its sectoral indices from January 1984 to August 1992, the results of this study suggest that : (1) Average returns on Monday...
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| Main Authors: | , , |
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| Other Authors: | |
| Format: | Final Year Project |
| Language: | English |
| Published: |
2015
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/64337 |
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| Institution: | Nanyang Technological University |
| Language: | English |
| Summary: | This study examines the relationship between price changes and trading volume on the Stock
Exchange of Singapore (SES). Using daily share prices of SES All-Share index and its sectoral
indices from January 1984 to August 1992, the results of this study suggest that : (1) Average
returns on Monday is negative and the lowest across the 5 trading days of the week; (2) Average
volume traded on Monday is the lowest and Friday has the highest volume; (3) A positive
relationship between absolute price changes and trading volume is obtained; ( 4) Trading volume
is greater when price moves up than when price moves down; (5) The relationship between price
changes and trading volume is strongly contemporaneous in nature; (6) A leading relationship
between price changes and trading volume is found on SES All-Share, SES All-Industrial &
Commercial and SES All-Hotel in which returns lead trading volume by up to 3 days. On the
whole, the results in this study are generally consistent with the empirical findings conducted in
other developing equity markets. |
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