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Article: The cross-sectional behavior of trading volume.(Report)
- Article from:
- Journal of Academy of Business and Economics
- Article date:
- January 1, 2009
- Author:
CopyrightCOPYRIGHT 2009 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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1. INTRODUCTION
Researchers have long been focusing on the behavior of stock returns, but paid less attention to trading volume, an important stochastic process closely related to returns. Numerous theoretical and empirical studies examined the different aspects of the stock return behavior: the daily, weekly and monthly distribution of stock returns, the cross-sectional and time series properties of stock returns, and asset pricing models. However, trading volume is relatively understudied in terms of breadth and depth. Therefore, we elaborate on the importance of trading volume as follows.
First, studying the behavior of trading volume can help us ...