When the asset market is complete and there exists a representative agent, trading volume plays a minor role in conventional models of asset prices. With an incomplete asset market, both the aggregate and individual risks affect equilibrium prices, and the behavior of prices crucially depends on the nature of investor heterogeneity. Quantity variables such as trading volume have important roles to play. This paper is a comprehensive empirical research into the price-volume relationship in the world's three major financial markets: Tokyo, London and New York.;This study has several objectives: (1) to describe the time series properties of daily trading volume for common stocks, (2) to investigate the presence of calendar effects in trading volume, (3) to examine the contemporaneous relationship between stock returns and trading volumes, (4) to rest a lead-lag relationship between stock returns and trading volumes, (5) to identify components of trading volumes and stock returns due to noninformational shock, (6) to test whether the trading volume has any significant explanatory power regarding the GARCH effects of daily returns, and (7) to examine the cross-market dependence on, stock return, trading volume and volatility.
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