Economics, Econometrics and Finance
4 years ago

New test uncovers hidden relationships in stock market movements.

SSRN Electronic Journal
Multivariate Linear and Non-Linear Causality Tests
Zhidong Bai, Bingzhi Zhang, Wing‐Keung Wong

Paper Summary

The article explores how stock prices and trading volume are related, using both linear and non-linear tests. The researchers discuss traditional linear causality tests and then introduce a new non-linear test to study these relationships in a more complex way. The main goal is to understand how different factors influence stock prices and trading volume, beyond simple linear relationships.

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