Equity Price-Volume Relationship On The Russian Stock Exchange

Abstract

This paper analyses the stock price?volume relationship of individual equities in the Russian Stock Exchange. Using a vector auto-regression analysis on weekly data, we present a strong evidence of bi-directional relationship between volume and price change. This finding confirms the evidence reported by studies on many developed markets. However, the weak support for the positive price-volume relationship may imply that the differences in institutions and information flows in the Russian Stock Exchange might be important enough to affect the valuation process of their securities. Consequently, investors who based their investment strategies on momentum, have to adjust their strategies when trading on Russian Stock Markets.