The Return-Volume Link in the Saudi Financial Sector: A Granger Causality Test

Ali Z. Diabi; Youssef A. Al-Zamil

Article Details

The Return-Volume Link in the Saudi Financial Sector: A Granger Causality Test

Authors:

Ali Z. Diabi | Youssef A. Al-Zamil

Publisher:

Kuwait University

Journal:

Arab Journal of Administrative Sciences Vol.8 Issue 1, pp.137-153

Document Type:

Article

Publication Date:

1/2001

Document Language:

English

Document ID (Org No.):

2001943439

pISSN:

2957-3521

Keywords:

Abstract:

 This paper uses weekly data on the Saudi financial sector for the 1990.08 through 1994.03 period, in an attempt to inquire into the issue of information efficiency. It also employs both cointegration analysis and the Granger causality methodology to test the return-volume link. A subsidiary objective of the paper is to examine the statistical properties of both stock return and volume. The results seem to suggest that when considering the whole sample period (i.e., 1990-1994), information conveyed by volume cannot help predict returns in the financial sector. It is rather the reverse causality (i.e., trading volume in most cases, is Granger causing return) which is more evident. However, when breaking the sample into two subperiods, the results are problematic. Overall, it appears that information efficiency is not yet evident. Perhaps, what Karpoff (1987) suggested for other markets can be also true for the emerging Saudi stock market whose size may be blurring the return-volume link.

Article Details

The Return-Volume Link in the Saudi Financial Sector: A Granger Causality Test

Authors:

Ali Z. Diabi | Youssef A. Al-Zamil

Publisher:

Kuwait University

Journal:

Arab Journal of Administrative Sciences Vol.8 Issue 1, pp.137-153

Document Type:

Article

Publication Date:

1/2001

Document Language:

English

Document ID (Org No.):

2001943439

pISSN:

2957-3521

Stock Returns

Volumes

Granger Causality

Information Efficiency

Cointegration

Stationarity Randomness

Issues

Article Details

The Return-Volume Link in the Saudi Financial Sector: A Granger Causality Test

Authors: Ali Z. Diabi | Youssef A. Al-Zamil

Publisher: Kuwait University

Journal: Arab Journal of Administrative Sciences Vol.8 Issue 1, pp.137-153

Document Type: Article

Publication Date: 1/2001

Document Language: English

Document ID (Org No.): 2001943439

pISSN: 2957-3521

Stock Returns

Volumes

Granger Causality

Information Efficiency

Cointegration

Stationarity Randomness

Issues

Authors:

Ali Z. Diabi | Youssef A. Al-Zamil

Publisher:

Kuwait University

Journal:

Arab Journal of Administrative Sciences Vol.8 Issue 1, pp.137-153

Document Type:

Article

Publication Date:

1/2001

Document Language:

English

Document ID (Org No.):

2001943439

pISSN:

2957-3521