Time variation in systematic risk, returns and trading volume: Evidence from precious metals mining stocks

We investigate whether trading volume has explanatory power for time variation in CAPM betas as well as returns, for the precious metals mining sector. We show that significant dependencies exist between these variables; however, empirical linkages are only revealed when quantile regression method is employed. The observed dynamics are particularly strong between trading volume and returns. We find that returns from lower (higher) quantiles have a negative (positive) relation with volume. We discuss the consistency of this asymmetric relation with equilibrium volume-return autocorrelation models suggested in prior work.