Causality in Quantiles and Dynamic Stock Return-Volume Relations

  title={Causality in Quantiles and Dynamic Stock Return-Volume Relations},
  author={Chia-Chang Chuang and Chung-Ming Kuan and Hsin-yi Lin},
This paper investigates the causal relations between stock return and volume based on quantile regressions. We first define Granger non-causality in all quantiles and propose testing non-causality by a sup-Wald test. Such a test is consistent against any deviation from non-causality in distribution, as opposed to the existing tests that check only noncausality in certain moment. This test is readily extended to test non-causality in different quantile ranges. In the empirical studies of 3 major… CONTINUE READING

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