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Article: Trading volume and dispersion of the realized stock returns.
- Article from:
- Journal of Academy of Business and Economics
- Article date:
- January 1, 2007
- Author:
CopyrightCOPYRIGHT 2007 International Academy of Business and Economics. This material is published under license from the publisher through the Gale Group, Farmington Hills, Michigan. All inquiries regarding rights should be directed to the Gale Group. (Hide copyright information)
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ABSTRACT
This paper analyzes the effect of realized stock returns on future trading volume. It shows that for a given group of stocks the increase in the dispersion of their lagged realized returns results in higher trading volume. The paper argues that this effect may be due to the coexistence of two groups of traders on the market. liquidity traders who follow momentum trading strategies and risky arbitrageurs.
Keywords: Trading Volume, Stock Return
1. INTRODUCTION
Existing research shows that stock returns and trading volume affect each other. Conrad, Hamed, and Niden (1994), Gervais, Kaniel, and Mongelgrin (2001), Lee and ...
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