I want to find the relationship between volume and price returns in the S&P500. My first thought was to run a cross correlation in order to find who leads and who lags in the relation. It´s my first time running cross correlations so I have three basic questions:
1) Using volume as X and returns as Y in a CCF I obtain the following results using SPSS.
- Lag -2 : 0.103
- Lag -1 : -0.131
- Lag 0 : -0.113
- Lag 1 : -0.022
Lag 2 : -0.008
Under these results, who lead and who lags? If I obtained higher values in the negative lags is correct to assume that volume (x) leads returns (y)?
2) Should I consider not the trading volume, but rather the volume growth rate? (the difference in logarithm between two consecutive values of trading volume)
3) Any idea for testing the significance level and p-value for each lag?