개별기업 주가와 거래량간의 인과관계 연구 = The Relationship between Price Changes and Trading Volume of Individual Firms

다국어 초록 (Multilingual Abstract)

The object of the following study is to analyze the causal relationship between trading volume on share prices. However, unlike previous analyses that focused on the effects of volume on indices, this paper focuses on the effects of trading volume on shares of individual firms. Unlike previous studies that measured simple net volume, the current research analyzes the relationship of a newly defined measure of volume, namely, net price change volume. Net price change volume measures the difference between upward share price volume and downward share price volume. There is a widely held preconception in the stock market that volume is a reflection of investor sentiment and subsequently drives intraday share price movement. Many investors believe share prices fluctuate on changes in volume and that volume is a reflection of investor sentiment, simply put that net price change volume has an effect on share prices. This paper analyzes the validity of the causality between volume and share price movements, measures the causality between net price change volume and share price movements and examines the significance of changes in trading volume to share prices. This paper analyzes the effects of volume on stock market indices and on individual firms. While previous volume analysis used simple net volume to measure the effects of volume on market indices, the current analysis broadens the study to include individual firms in addition to market indices using the more detailed net price change volume. First, the focus of this paper is to examine the causality between net price change volume and stock price, while the relationship betweennet price change volume and stock price in the market index could not be observed, a relationship between the two factors was evident in a significant number of individual firms. With the existence of the relationship, we reject the hull hypothesis, net price change volume does not Granger cause stock price. We consider net price change volume as an important measure of volume in terms of its effects on share price movements. Second, considering there is no significant causality between simple net volume and the stock price of the market index or of shares of individual firms, we consider simple net volume to be of little importance. Third, considering there is an observable relationship between volume and stock price, but that there was no observable relationship between simple net volume and stock price, it was observed that net price change volume had a significant relationship with share price movements. As such, we believe previous studies utilizing simple net volume are flawed, and assert the importance of net price change volume to share price movements. While previous analyses detected a relationship between simple net volume and stock price, in the current analysis, excluding the minimal relationship detected between simple net volume and stock price of the market index, there was little to no relationship detected with the share price movements of individual firms. As such, we can expect further analyses which contradict earlier papers that have asserted that shares will increase on expanding volume and decrease on contracting volume. This paper confirms the importance of net price change volume on share price movements, contrary to previous studies that concluded simple net volume affected share prices. While, net price change volume does not have an infallible relationship to the share price movements of individual firms, it has an observable and significant relationship. Additionally, while volume does have an effect on share price movement, net price change volume has a stronger causal relationship to simple net volume on share prices, and as such share prices are more sensitive to changes in net price change volume than in simple net volume.

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