What Is the Empirical Relationship Between Trading Volume and Stock Returns on Oslo Stock Exchange?

Abstract

In this thesis we have investigated the relationship between stock return and trading volume at the Oslo Stock exchange. Our research question was ”What is the empirical relationship between trading volume and stock returns on Oslo Stock Exchange". Our sample consist of daily stock return and turnover data from 1980 to 2017 for 505 stocks on Oslo Stock Exchange. Using cross-correlation analysis, multivariate regressions, GARCH and EGARCH models, and a Granger causality test we found evidence of both contemporaneous and causal relationships. Our findings lend support to the sequential information arrival hypothesis.