The Relationship Between Trading Volume and Stocks' Returns : Value Versus Growth Stocks in Malaysia

Value stocks have higher returns than growth stocks in Kuala Lumpur Composite Index from January 1, 2001 to January 1, 2009. This investigation empirically examines the relationship between monthly rates of return and trading volumes on value and growth stocks. The evidence of KLCI shows that returns affect volume. In addition, there is no relationship between volume trading and the types of stocks, i.e., growth or value. The Granger causality tests show that there is no causality relationship between volume and return for growth stocks. However, there is bidirectional causality relationship between volume and return for value stocks