... exist, what we require, then, is a linear combination of Yt and Xt that is a stationary variable (an I(0) variable). A linear combination of Yt and Xt can be directly taken from estimation ... return and volume at sample firms. Again, I make the regression of two variables, take the residuals and then test for stationary. As we can see in Table A3 , all residuals are stationary. Table ... Futures Markets, Journal of Financial and Quantitative Analysis, Vol. 29, 2 1- 39. 5. Bohl, M.T. and H. Henke, 2003, Trading volume and stock market activity: The Polish case, International Review...