Intraday prices and trading volume relationship in Singapore.

Abstract

This paper examines the intraday stock returns and trading relationship in one of the most open and dynamic Asian markets – Singapore. Average trading volume is found to be a function of the time of the day for all days of the week but not a function of the day of the week. Average returns is found to be neither a function of the day of the week nor time of the day. For the contemporaneous relation between trading volume and absolute value of return, we found that there exists a significant positive relationship.