The Frequency - Dependent Effects of Trading Volume Over Rate of Return on Stock Market: Evidence from Vietnam’s Stock Exchange

    Nguyen Phan Thu Hang ,Le Dinh Nghi ,Le Nguyen Binh Minh ,Le Mai Hai
    Keywords: Stock exchange, trading volume, rate of return, frequency-domain JEL: C58, G15 ,

    Abstract

    Abstract
    This article studies the effects of trading volume over rate of return on Hochiminh Stock Exchange (HOSE)
    from Jan 05, 2015 to May 29, 2020. Granger test for causality revealed a significant impact from trading
    volume on rate of return at HOSE. Moreover, frequency domain approach
    (Breitung & Candelon, 2006)
    was applied for testing causality shown that the effect of trading volume over rate of return only
    meaningful at high frequencies. Therefore, the finding proved that the Granger test is not enough, and it
    is essential to combine with frequency domain based approach as a post-hoc test for further
    understanding about the relationships. To our best knowledge, there is no research using frequencydomain approach for testing the effects of trading volume over rate of return.

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