This paper investigates the causal relationship between stock and volume on the Warsaw Stock Exchange. The Granger causality test and VAR model have been used. The causality test reveals that there is unidirectional causality running from prices to volume. However, impulse response functions and variance decomposition show a weak relation between price and volume. The results are consistent with the efficient market hypothesis.

Keywords: stock exchange index, prices, volume, causality

  Jerzy Rembeza, Grzegorz Przekota, Anna Szczepańska-Przekota - The Price-Volume Linkages on the Warsaw Stock Exchange - plik pdf; (157 KB)