THE STOCK PRICE-VOLUME RELATION: THE CASE OF EAST EUROPEAN COUNTRIES

Lokman GÜNDÜZ (Beykent University)
Abdulnasser HATEMI-J (University of Skövde)

This paper examines the stock price-volume relation in a set of East European markets, namely Czech Republic, Hungary, Poland, Russia and Turkey. Using the weekly data and applying Granger causality and a non-causality testing procedure developed by Toda and Yamamoto (1995), we empirically test whether or not stock price changes lead trading volume. We find that this set of emerging markets with different institutions and information flows than the developed markets, do not present similar stock price-volume lead-lag relation to the preponderance of studies employing U.S. data.