摘要：This study analyzes the relationship between trading volume and stock return volatility for industrial firms listed on Muscat securities market. Several tests were utilized to include: Brailsford model, vector autoregressive model (VAR), and the pairwise Granger causality test. The empirical results provide evidence of a significant positive effect for return volatility on trading volume. Likewise, the VAR model provides evidence of a significant positive effect of trading volume on stock returns. On the other hand, the pairwise Granger causality test reveals that trading volume Granger-cause stock return. The previous findings are inconsistent with the weak-form of the efficient market hypothesis.
其他摘要：This study analyzes the relationship between trading volume and stock return volatility for industrial firms listed on Muscat securities market. Several tests were utilized to include: Brailsford model, vector autoregressive model (VAR), and the pairwise Granger causality test. The empirical results provide evidence of a significant positive effect for return volatility on trading volume. Likewise, the VAR model provides evidence of a significant positive effect of trading volume on stock returns. On the other hand, the pairwise Granger causality test reveals that trading volume Granger-cause stock return. The previous findings are inconsistent with the weak-form of the efficient market hypothesis.
