This paper examines the relationship between trading volume and returns in Greek stock index futures market. For both available stock index futures contracts of the Athens Derivatives Exchange (ADEX), we study GARCH effects in our data and test how well these effects are explained by trading volume (under both GARCH and GMM). For FTSE/ASE-20, trading volume contributes significantly in explaining GARCH effects. However, GMM system estimation suggests that there is a significant relationship between lagged volume and absolute returns, while a positive contemporaneous relationship does not hold. Taken together, these findings indicate that market participants use volume as an indication of prices. For FTSE/ASE Mid 40, the empirical results give different conclusions. Both GARCH and GMM methods confirm that there is no evidence of positive relationship between trading volume and returns. These findings are helpful to financial managers dealing with Greek stock index futures.
|Number of pages||18|
|Journal||International Research Journal of Finance and Economics|
|Publication status||Published - 2007|