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Lamourex, C. G., & Lastrapes, W. D, “Heteroskedasticity in Stock Return Data: Volume Versus GARCH Effects”, The Journal of Finance, 45(1), 221-229. 1990.

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Article

The Relationship between Trading Volume, Volatility and Stock Market Returns: During a Pre- and Post Revolution on Tunisian Stock Exchange

1Higher Institute of Computer Science and Management of Kairouan, University of Kairouan, Kairouan, Tunisia


International Journal of Global Energy Markets and Finance. 2019, Vol. 2 No. 1, 1-5
DOI: 10.12691/ijgefm-2-1-1
Copyright © 2019 Science and Education Publishing

Cite this paper:
Othman Mnari. The Relationship between Trading Volume, Volatility and Stock Market Returns: During a Pre- and Post Revolution on Tunisian Stock Exchange. International Journal of Global Energy Markets and Finance. 2019; 2(1):1-5. doi: 10.12691/ijgefm-2-1-1.

Correspondence to: Othman  Mnari, Higher Institute of Computer Science and Management of Kairouan, University of Kairouan, Kairouan, Tunisia. Email: mnaritn@yahoo.fr

Abstract

This paper investigates the relationships between trading volume, volatility and stock market returns, by using daily data of the Tunisian stock exchange, during its pre and post revolution period from January 2006 to December 2015. The results indicate that the return volatility is best described by a GARCH (1,1) specification. We have included volume in the conditional variance equation as an additional explanatory variable in the GARCH model, to examine if volume can capture GARCH effects. Our results show that the persistence in volatility remains in return series even after volume is included in the model as an explanatory variable. This finding holds during the pre and post revolution period.

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