A NONPARAMETRIC TEST OF DEPENDENCE RELATION AMONG STOCK VOLATILITY, RETURN AND TRADE VOLUME

We apply the models of copulas to find out the pairwise dependence structures among stock return, stock volatility and trading volume. Our investigation shows that there exists the significantly close relationship among the variables on American stock markets including NYSE, NASDAQ and S&P500. We also examine British Stock Markets by FTSE100, German DAX, and Japanese NIKKEI225. It is found that there exists significant pairwise tail dependence among them, and the dependence is asymmetric.