The Price-Volume Relationship In The Chilean Stock Market

Abstract

This study focuses on the econometric relations between daily returns and daily trading volume changes on the Santiago Stock Exchange of Chile. To meet this task, the study utilizes the data of the Selective Stock Price Index, IPSA, from January, 2003 through October, 2006. A significant contemporaneous relation is found between volume and returns. The evidence also indicates that the said relation is asymmetric. Moreover, the results support the notion that the trading volume makes the market move. The causality test results provide a clear evidence of daily returns Granger causing daily trading volume changes in the Chilean equity market.