Asymmetry in the price-volume relation: evidence based on individual company stocks traded in an emerging stock market

摘要

We test for asymmetry in the price-volume relation, using a sample of 36 individual stocks listed on the Kuwait stock exchange. For this purpose, we employ an asymmetric autoregressive distributed lag (ARDL) model that relates trading volume to positive and negative price changes. The results indicate the existence of a robust asymmetric price-volume relation whereby trading volume tends to be higher in a rising market than in a falling market.The price-volume relation has been the subject of a considerable body of academic research.' However, relatively little work has been done on an important aspect of this relation: whether or not it is asymmetric, in the sense that the trading volume associated with rising prices is significantly different from the volume associated with falling prices.