Price Changes and Trading Volume Relationship: Some Preliminary Evidence from the Kuala Lumpur Stock Exchange
This study provides evidence regarding the relationship between price changes and volume of trading of firms listed on the KLSE. Absolute price changes were found to have a strong relationship with trading volume compared to price changes. Transaction volume associated with a price upturn was, on...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English English |
| Published: |
Universiti Putra Malaysia Press
1995
|
| Online Access: | http://psasir.upm.edu.my/id/eprint/3071/ http://psasir.upm.edu.my/id/eprint/3071/1/Price_Changes_and_Trading_Volume_Relationship_Some_Preliminary_Evidence.pdf |
| _version_ | 1848839427217948672 |
|---|---|
| author | Mohamad, Shamsher Md Nassir, Annuar |
| author_facet | Mohamad, Shamsher Md Nassir, Annuar |
| author_sort | Mohamad, Shamsher |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | This study provides evidence regarding the relationship between price changes and volume of trading of firms
listed on the KLSE. Absolute price changes were found to have a strong relationship with trading volume
compared to price changes. Transaction volume associated with a price upturn was, on the average, larger
than the transaction volume associated with a price downturn which probably explained the positive
correlation between price changes and trading volume. Causality tests indicated that price changes cause
volume changes but not vice versa. The interaction test showed that large transaction volume coupled with
an increasing trend in price will further gather momentum and result in a further increase in price. This
fll1ding, however, does not suggest that the KLSE is weak-form inefficient which provides an opportunity to
investors to devise strategies as there is evidence that the KLSE is weak-form efficient and pockets of
inefficiencies observed are not economically viable. The findings defy the basic tenet of technical analysis that
past price volume data can be consistently used to design profitable investment strategies. |
| first_indexed | 2025-11-15T07:11:16Z |
| format | Article |
| id | upm-3071 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English English |
| last_indexed | 2025-11-15T07:11:16Z |
| publishDate | 1995 |
| publisher | Universiti Putra Malaysia Press |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-30712013-05-27T07:05:31Z http://psasir.upm.edu.my/id/eprint/3071/ Price Changes and Trading Volume Relationship: Some Preliminary Evidence from the Kuala Lumpur Stock Exchange Mohamad, Shamsher Md Nassir, Annuar This study provides evidence regarding the relationship between price changes and volume of trading of firms listed on the KLSE. Absolute price changes were found to have a strong relationship with trading volume compared to price changes. Transaction volume associated with a price upturn was, on the average, larger than the transaction volume associated with a price downturn which probably explained the positive correlation between price changes and trading volume. Causality tests indicated that price changes cause volume changes but not vice versa. The interaction test showed that large transaction volume coupled with an increasing trend in price will further gather momentum and result in a further increase in price. This fll1ding, however, does not suggest that the KLSE is weak-form inefficient which provides an opportunity to investors to devise strategies as there is evidence that the KLSE is weak-form efficient and pockets of inefficiencies observed are not economically viable. The findings defy the basic tenet of technical analysis that past price volume data can be consistently used to design profitable investment strategies. Universiti Putra Malaysia Press 1995 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/3071/1/Price_Changes_and_Trading_Volume_Relationship_Some_Preliminary_Evidence.pdf Mohamad, Shamsher and Md Nassir, Annuar (1995) Price Changes and Trading Volume Relationship: Some Preliminary Evidence from the Kuala Lumpur Stock Exchange. Pertanika Journal of Social Sciences & Humanities, 3 (2). pp. 147-154. ISSN 0128-7702 English |
| spellingShingle | Mohamad, Shamsher Md Nassir, Annuar Price Changes and Trading Volume Relationship: Some Preliminary Evidence from the Kuala Lumpur Stock Exchange |
| title | Price Changes and Trading Volume Relationship: Some Preliminary Evidence
from the Kuala Lumpur Stock Exchange |
| title_full | Price Changes and Trading Volume Relationship: Some Preliminary Evidence
from the Kuala Lumpur Stock Exchange |
| title_fullStr | Price Changes and Trading Volume Relationship: Some Preliminary Evidence
from the Kuala Lumpur Stock Exchange |
| title_full_unstemmed | Price Changes and Trading Volume Relationship: Some Preliminary Evidence
from the Kuala Lumpur Stock Exchange |
| title_short | Price Changes and Trading Volume Relationship: Some Preliminary Evidence
from the Kuala Lumpur Stock Exchange |
| title_sort | price changes and trading volume relationship: some preliminary evidence
from the kuala lumpur stock exchange |
| url | http://psasir.upm.edu.my/id/eprint/3071/ http://psasir.upm.edu.my/id/eprint/3071/1/Price_Changes_and_Trading_Volume_Relationship_Some_Preliminary_Evidence.pdf |