Causality Analysis Jci Relations And Sales Volume In Bei According To The Var Method

This study aimed to analyze and assess how great their causal relationships between price variables and volume variable of JCI. For that how causality relationship between price and volume of JCI be interesting to research. Some studies before this about the relationship between price and volume, among others, performed by Gurgul, et al. (2005). Blume, easely and O'Hara (BEO, 1994) and Suominen (2001) in theoretical papers (in Ciner, 2003) to investigate the role of the volume of the asset market and also shows that the volume conveys information about price movements in the future for market participants. BEO and Suominen (2001) in Ciner (2003) suggests that the stock price can not reflect all available information that reach the market. In his paper trading volume is illustrated in the form of a model form something useful statistical phenomenon, because it provides information that can not be obtained by mere price (Ciner, 2003). Still in BEO, volume convey information about the accuracy of informative signals that reach the market. Suominen (2001) in Ciner (2003) suggests that the volume helps to determine the expansion of information imperfections in the market. TSB predictions of both models is that there is a relationship between volume and price movements next and traders cover information in their strategy to get better trading results (Ciner, 2003). Gurgul, et al. (2005) stated that both theoretical contributions above (Blume, et al and Suominen, 2001) has been equipped with a number of empirical studies relating to price-volume relationship in the capital market. They (Gurgul, et al., 2005) also conducted a test to get an estimate of how big the influence of the volume of stock trading to the magnitude and direction of movement of the stock price. Gurgul, et al. (2005) used linear and nonlinear methods to examine the relationship between volume and outcome, and they also do estimation by using a model Vector autoregression (VAR) to calculate the Granger causality test in a linear manner. In the present study did not reveal any causal relationship between the variables of price and volume variables JCI using the Granger Causality Test method Vector autoregression (VAR).