Dynamics of the price-volume relationship in an African context: the case of South Africa
Bibliographic record
Abstract
This paper investigates the contemporaneous and causal relationships between stock prices and trading volume in South Africa using weekly data on 36 Johannesburg Stock Exchange (JSE) listed companies over the 2011 to 2017 period. The findings are consistent with earlier studies that document the presence of both contemporaneous and bi-directional causal relationships between stock returns and trading volume. However, contrary to most findings, our results indicate a strong negative asymmetric relationship instead of a positive one. The bi-directional relationships tests results are strong and are in support of a quasi-instantaneous information dissemination environment, which lends some support to market efficiency in the JSE. Thus, our results suggest that the JSE is well structured for information to be fully diffused quickly, thus creating a conducive environment for the implementation of a variety of investment strategies such as momentum and contrarian, and potentially making the JSE a good candidate for international investors.
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How this classification was reachedexpand
Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.001 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.000 | 0.001 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.000 | 0.000 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.000 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one teacher head, not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".