摘要：This paper examined the causal effect between return and trading volume using Kuala Lumpur options and financial futures exchange (KLOFFE) daily data from 1995 to 2009. With univariate autoregressive generalized autoregressive conditional heteroscedasticity (AR-GARCH) model, the cross-correlation function (CCF) indicated that there is causality in mean from lag one of trading volume to return, which suggests significant changes in volume in previous day, may result in either a positive or negative shift to the current price. In order to examine the presence of three information arrival theories in futures market, an augmented AR-GARCH model with relevant lags was used. Notably, it is found that dependence causality in mean and variance from trading volume to return has disappeared. This implies that information spillover is not present in the interaction of price and volume. In conclusion, a reasonable thesis to support this result is the existence of noise traders’ hypothesis in Malaysian futures market.
关键词：Price-volume dynamics; dependence causality; causality-in-variance; cross correlation; GARCH model
