Testing for Linear and Nonlinear Granger Causality in the Stock Price‐Volume Relation
用线性和非线性格兰杰因果检验，分析道琼斯指数日收益率与纽交所成交量变化之间的动态关系，发现两者存在显著的双向非线性因果关系，且成交量对收益率的非线性影响不能完全由波动率持续性解释。
ABSTRACT Linear and nonlinear Granger causality tests are used to examine the dynamic relation between daily Dow Jones stock returns and percentage changes in New York Stock Exchange trading volume. We find evidence of significant bidirectional nonlinear causality between returns and volume. We also examine whether the nonlinear causality from volume to returns can be explained by volume serving as a proxy for information flow in the stochastic process generating stock return variance as suggested by Clark's (1973) latent common‐factor model. After controlling for volatility persistence in returns, we continue to find evidence of nonlinear causality from volume to returns.