Title: Return and Volume and the 2008 Market Crash
Abstract: This paper examines the dynamic relationship between stock market trading volume and returns for four major stock markets: New York, Tokyo, London and Toronto using daily data covering March 1, 2003 to Nov. 1, 2012 period. We investigate the information content of volume for the stock returns. We find a positive contemporaneous relation between volume and absolute value of return in all markets. In addition, we find support for the proposition that lagged volume has predictive power for future absolute returns. We also investigate whether the 2008 market crash has had a significant impact on the relationship between the trading volume and return on all markets.
Publication Year: 2013
Publication Date: 2013-11-01
Language: en
Type: article
Access and Citation
AI Researcher Chatbot
Get quick answers to your questions about the article from our AI researcher chatbot