Archimedean copulas for price-volume dependencies of DAX companies

This study deals with the empirical relations between stock returns and trading volume using stock data of DAX companies. By means of copula methodology for trading volume-returns and trading volume-volatility (contemporaneous and lagged) we try to prove the contemporaneous and dynamic structure of dependencies for a DAX stock market data set from January 1994 to December 2005 on a daily basis. Our results suggest that there is almost no relationship between stock return levels and trading volume in either direction. We find that trading volume is contemporaneously positively related to return volatility. In addition, we establish that lagged return volatility induces trading volume movements.