Share-price-changes-volume relation on the Singapore equity market

• Main Authors: LEE, David K. C., ARIFF, Mohamed
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 1993
• Subjects: Stocks prices; Investment banking; Correlation in Statistics; Analysis of variance; Least squares; Heteroscedasticity; Asian Studies; Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/3366; https://ink.library.smu.edu.sg/context/lkcsb_research/article/4365/viewcontent/SharePriceChangesVolSingaporeEquityMkt_1993.pdf
• Institution: Singapore Management University

A critical review of the literature on security-price-changes-volume research suggests that the published studies in the United States and one each in Hong Kong and Japan have largely ignored the impacts on the results from autocorrelation, non-normality of distributions, heteroscedasticity and non-linear functional forms. Therefore, the reported findings are not robust. In testing for this relation from a small sample of continuously traded shares in the Singapore share market, we find that consistent results may not be obtained because of violations of basic test conditions. A task that remains is an application of alternative test models with data transformation using a larger sample.