An empirical study on stock returns, volume, and volatility: listed companies on the Ho Chi Minh city stock exchange stock exchange

Abstract

The thesis examines the relationship between stock returns, trading volume and return volatility. With the focus on listed companies on the Ho Chi Minh City Stock Exchange over the period between 01 Jan 2007 and 31 Dec 2011, the study conducts GARCH (1,1) to model the relationship between stock return, trading volume, and volatility. We also include a dummy to capture possible effect of pre and post-crisis on stock return volatility. The analysis results show that there exists an influence of trading volume on stock return, even after controlling effects of foreign trading volume. It is also evident that trading volume has some predictive power to return volatility. We also find our results onsistent with previous studies such as Clark (1973) and Copeland (1976). The result also implies that Vietnamese stock market is efficiently weak at least for listed companies on the Ho Chi Minh City Stock Exchange.