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Volume and Skewness in International Equity Markets Colm Kearney and Margaret Lynch


We examine the relation between trading volume and skewness in 6 international stock markets - Britain, France, Germany, Italy, Japan and the United States - using daily data from February 1978 to December 2001. We construct both single equation and VAR models of the relation between the first three moments of market returns and trading volumes. Our results show hitherto unrecognised channels of influence, and are supportive of the investor heterogeneity approach to explaining return asymmetries.
Keywords : International stock markets, Skewness, Volume, VAR.
JEL Classification Codes : C14, F31, G12, G15.

Last updated 28 August 2014 by IIIS (Email).