The Relationship Between Trading Volume and Stock Returns

被引：0
|
作者：
Pathirawasam, Chandrapala [1 ,2 ]
机构：
[1] Tomas Bata Univ Zlin, Fac Econ & Management, Mostni 5139, Zlin 76001, Czech Republic
[2] Univ Kelaniya, Fac Commerce & Management Studies, Dept Commerce & Financial Management, Kelaniya, Sri Lanka
来源：
JOURNAL OF COMPETITIVENESS | 2011年 / 03期
关键词：
trading volume; stock returns; Colombo Stock Exchange;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This study examines the relationship between trading volume and stock returns. The sample of the study consists of 266 stocks traded at the Colombo Stock Exchange (CSE) from 2000-2008. This study follows the conventional methodology used by Jagadeesh and Titman (Jagadeesh and Titman, 1993). The study revealed that stock returns are positively related to the contemporary change in trading volume. Further, it was found that past trading volume change is negatively related to stock returns. Investor misspecification about future earnings or illiquidity of low volume stocks can be the reason for the negative relationship between trading volume and stock returns.
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页码：41 / 49
页数：9
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