Empirical research on the SES price : volume relationship

• Main Authors: Heng, Juat Kim, Kwan, Lai Kuan, Wee, Magdaline Siou Leng
• Other Authors: Lau Sie Ting
• Format: Final Year Project
• Language: English
• Published: 2015
• Subjects: DRNTU::Business
• Online Access: http://hdl.handle.net/10356/64337
• Institution: Nanyang Technological University

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.