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Jonathan A. Batten

is Professor of Finance in the Department of Banking and Finance at Monash University, Australia. Prior to this position he worked as a Professor in Finance at the Hong Kong University of Science & Technology and Seoul National University, Korea. He is the managing editor of Emerging Markets Review, Journal of International Financial Markets Institutions and Money, co-editor of Finance Research Letters, and on the editorial boards of a number of other journals including the Journal of Banking & Finance, Journal of Multinational Financial Management and International Review of Financial Analysis. He is the current President of the Eurasian Business and Economics Society (EBES). His current research interests include: Financial market development and risk management; spread modelling arbitrage and market integration; and the investigation of the non-linear dynamics of financial prices.

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Jonathan A. Batten - Igor Lončarski - Peter G. Szilagyi: Revisiting Price –Volume and Volatility Relationships in the U.S. Stock Markets

According to the Standard and Poors website “The S&P 500® is widely regarded as the best single gauge of large-cap U.S. equities. There is over USD 7.8 trillion benchmarked to the index, with index assets comprising approximately USD 2.2 trillion of this total. The S&P 500 index includes 500 leading companies and captures approximately 80% coverage of available market capitalization”. However, close to 40% of the index value comprises the top 30 stocks (mostly those included in the Dow Jones Industrial Average, while just three technology stocks (MSFT, APPL and GOOG) account for about 10% of the S&P 500 market value. This study investigates the price-volume and volatility relationships in three key U.S. indices (the S&P 500, Dow Jones Industrial Average 30, and the NASDAQ Composite), whose indices are based on different groups of stocks, but whose values represent stocks with significantly different degrees of market capitalisation and turnover. The NASDAQ and the S&P 500 are especially important given their role as market benchmarks to index funds. The study establishes the effect on volatility of market size and contemporaneous trading, while also shedding insights into existing theories associated with price-volume relationships.

Last modified: 2018.11.30.