The Causal Relationship between Trading Volume and Return Volatility with Interest Rate and Exchange Rate as Exogenous Variables (Empirical Research on Property Indexes of Indonesia, Malaysia, Philippines, and Thailand)
Abstract
This study aims to analyze the causal relationship between trading volume and return volatility along with macroeconomic variables such as interest rates and exchange rate. The endogenous variables in this study are trading volume and return volatility, while the exogenous variables are interest rates and exchange rates. The sample used in this research is property indexes in Indonesia, Malaysia, Philippines, and Thailand who provide monthly data for the four variables during the observation period in January 2012-December 2019. The analysis technique used to test the hypothesis in this study is Vector Autoregression (VAR) technique. The result of this study indicate that trading volume has positive effect on return volatility in property indexes of Indonesia, Philippines, and Thailand, meanwhile trading volume has no effect on return volatility in Malaysia’s property index. Return volatility has no effect on trading volume in all the countries whether in Indonesia, Malaysia, the Philippines, or in Thailand. There is a one-way causality relationship between trading volume and return volatility in property indexes of Indonesia, Philippines, and Thailand. There is no causality relationship between trading volume and return volatility in Malaysia’s property index.
Keywords
Full Text:
PDFReferences
Abraham, T. W. (2011), “Stock Market Reaction to Selected Macroeconomic Variables in the Nigerian Economy”, CBN Journal of Applied Statistics, Vol. 2, Issue 1, pp. 61-70.
Ahmad, M. I., Rehman, R., Raoof, A. (2010), “Do Interest Rate, Exchange Rate effect Stock Returns? A Pakistani Perspective”, International Research Journal of Finance and Economics, Issue 50, pp. 146-150.
Ang, R. (1997). Buku Pintar Pasar Modal Indonesia. Jakarta: Mediasoft Indonesia.
Bakhromov, N. (2011). The Exchange Rate Volatility and the Trade Balance: Case of Uzbekistan. Journal of Applied Economics and Business Research, 1, 149-161.
Bhat, K. U., Shah, S. Z. A. (2015), “Empirical Investigation of the Relationship between Exchange Rate Movements and Stock Market Volatility in the Context of Pakistan”, Pakistan Business Review, pp. 744-758.
Brigham, H., Eugene, D. A., & Houston, J. (2019). Manajemen Keuangan. Jakarta: Salemba Empat.
Chao, C., & Guo, Z. Z. (2004). Stock Returns, Volatility, and Trading Volume: Evidence from the Chinese Stock Markets. International Journal of Business, 6, 68-86.
Chiang, T.C., Qiao, Z. and Wong, W. (2010), “New evidence on the relation between return volatility and trading volume”, Journal of Forecasting, Vol. 29 No. 5, pp. 502-515.
Ching, H., & Sana, H. (2014). The Causal Relationships between Stock Returns, Trading Volume, and Volatility. International Journal of Managerial Finance, 10, 218-240
Clayton, J., MacKinnon, G. and Peng, L. (2008), “Time variation of liquidity in the private real estate market: an empirical investigation”, Journal of Real Estate Research, Vol. 30 No. 2, pp. 125-160
Clayton, J., Miller, N. and Peng, L. (2010), “Price-volume correlation in the housing market: causality and co-movements”, Journal of Real Estate Finance and Economics, Vol. 40 No. 1, pp. 14-40
Enggal, M. (2016). Analisis Pengaruh Inflasi, Kurs, dan Suku Bunga terhadap Pergerakan Bersama Return Saham IHSG dan Volume Perdagangan Periode Januari 2006-Desember 2015). Diponegoro Journal of Management, 5, 1-15.
Gallo, J.G. and Zhang, Y. (2010), “Global property market diversification”, Journal of Real Estate Finance and Economics, Vol. 41 No. 4, pp. 458-485.
Geetha, C., Mohidin, R., Chandran, V. V., Chong, V. (2011), “The Relationship between Inflation and Stock Market: Evidence from Malaysia, United States and China”, International Journal of Economics and Management Sciences, Vol. 1, Issue 2, pp. 1-16.
Glascock, J.L. and Lu, A.R. (2013), “An examination of macroeconomic effects on the liquidity of REITs”, Journal of Real Estate Finance and Economics, available at: http:// link.springer.com/article/10.1007/s11146-013-9406-3, forthcoming
Hong, C. K., Yoon, S.M., & Kang, S.H. (2019). Relationship between Stock Returns and Trading Volume: Domestic and Cross-Country Evidende in Asian Stock Markets. Proceeding 2013 International Conference on Economics and Business Administration.
Husnan, S. (2020). Manajemen Keuangan Teori Dan Penerapan (Keputusan
Jangka Panjang). Edisi Keempat. Yogyakarta: BPFE.
Jonathan, T.I. (2013). Analisa Pengaruh Inflasi, Suku Bunga, dan Kurs terhadap Volume Transaksi pada Index LQ45. Finesta, 1, 2-4.
Kennedy, K., Nourizad, F. (2016), “Exchange rate volatility and its effect on stock market volatility”, International Journal of Human Capital in Urban Management (IJHCUM), Vol. 1, Issue 1, pp. 37-46.
Kutty, G. (2010), “The Relationship between Exchange Rates and Stock Prices: The Case of Mexico”, North Americal Journal of Finance and Banking Research, Vol. 4, Issue 4, pp. 1-12.
Lakshmi, B. (2014). Macroeconomic Forces and Stock Prices: Some Empirical Evidence from Arab Saudi Arabia. International Journal of Financial Research, 5, 1-4.
Lin, T.C. and Lin, Z. (2011), “Are stock and real estate markets integrated? An empirical study of six Asian economies”, Pacific-Basin Finance Journal, Vol. 19, pp. 571-585.
Mbulawa, S. (2015), “Effect of Macroeconomic Variables on Economic Growth in Botswana”, Journal of Economics and Sustainable Development, Vol. 6, Issue 4, pp. 68-78.
Medeiros, O. R., & Bernardus F. N. D. (2018). The Empirical Relationship between Stock Returns, Return Volatility, and Trading Volume in the Brazilian Stock Market. Brazilian Bussines Review. 5, 1-17.
Mlambo, C., Marezda, A., Sibanda, K. (2013), “Effects of Exchange Rate Volatility on the Stock Market: A Case Study of South Africa”, Mediterranean Journal of Social Sciences, Vol. 4, Issue 14, pp. 561-570.
Mouna, A., Anis, J. (2017), “Financial Literacy in Tunisia: Its determinants and its implications on investment behaviour”, Research in International Business and Finance, Vol. 39 (Part A), pp. 568-57
Muharam, H. (2020). Aplikasi Ekonometri. Semarang: Program Doktor Ilmu Ekonomi Fakultas Ekonomika dan Bisnis.
Muktadir-al-Mukit, D. (2013), “The Effects of Interest Rates Volatility on Stock Returns: Evidence from Bangladesh”, International Journal of Management and Business Research, Vol. 3, Issue 3, pp. 269-279.
Murni, A. (2010). Pengaruh Faktor Makro Ekonomi terhadap Indeks Harga Saham Gabungan dengan Volume sebagai Variabel Intervening. Jurnal Ekono-Insentif, 4, 38-56.
Nkoro, E., Uko, A. K. (2016), “Exchange Rate and Inflation Volatility and Stock Prices Volatility: Evidence from Nigeria, 1986-2012”, Journal of Applied Finance and Banking, Vol. 6, Issue 6, pages 4.
Rabia, N., Khakan, N. (2015), “Impact of Macro Variables on Karachi Stock Exchange”, Journal of Tourism and Hospitality, Vol. 4, Issue 4, pp. 1-5.
Shi, S., Young, M. and Hargreaves, B. (2010), “House price-volume dynamics-evidence from 12 cities in New Zealand”, Journal of Real Estate Research, Vol. 32 No. 1, pp. 75-99.
Sichoongwe, K. (2016), “Effects of Exchange Rate Volatility on the Stock Market: The Zambian Experience”, Journal of Economics and Sustainable Development, Vol. 7, Issue 4, pp. 114-119.
Tripathi, V., Seth, R. (2014), “Stock Market Performance and Macroeconomic Factors: The Study of Indian Equity Market”, Global Business Review, Vol. 15, Issue 2, pp. 291-316.
Wang, J. and M. Yang, (2009), “Asymmetric volatility in the foreign exchange markets,” Journal of international Financial Markets, Institutions and Money, Vol. 19, No. 4, pp. 597–615.
Yuliana, F. (2014). Analyze the Effect of Interest Rate, Inflation, Exchange Rates, and the Money Supply to Volume of Stock Trading in LQ45. JOM FEKON, 1, 1-17.
Yusuf, M. M., Rahman, H. A. (2012), “Causality Effect between Equity Market and Exchange Rate Volatility in Malaysia”, International Proceedings of Economics Development and Research (IPEDR), Vol. 55, Issue 22, pp. 109-114.
Zakaria, S. (2012). Empirical Evidence on the Relationship between Stock Market Volatility and Macroeconomics Volatility in Malaysia. Journal of Business Studies Quarterly, 4, 61-71.
View Counter: Abstract - 585 and PDF - 657
Refbacks
- There are currently no refbacks.
