On the asymmetric and dynamic price-volume Nexus: Sector-level evidence

This study aims to provide an empirical analysis of the return-volume and volatility-volume linkages, using both market- and sector-level data from the emerging equity market of Qatar. The OLS and VAR modelling approaches are employed to explore the contemporaneous and dynamic relations, respectively, between index returns and trading volume, while the volatility-volume relation is examined using an EGARCH-X(1,1) model. The results suggest a positive contemporaneous return-volume relation across almost all sectors, and this relation is found to be asymmetric. Absence of a dynamic relation between returns and volume is detected for the aggregate market and for the majority of sectors. Further, most of the index series exhibit evidence of asymmetry and clustering in return volatility. Finally, lagged values of trading volume appear to supply information useful in forecasting the future dynamics of price variability in all sectors, with the transportation sector representing the sole exception. These results hold practical implications for investors trading on the Qatari market.