The effect of trading volumes on stock returns following large price moves
The study analyses the correlation between abnormal trading volumes accompanying large stock price changes and subsequent stock price dynamics. Assuming that abnormal trading volume associated with a large price move may serve as an indication of the extent of the immediate stock price reac...
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| Format: | Article |
| Language: | English |
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Faculty of Economics, Belgrade
2019-01-01
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| Series: | Ekonomski Anali |
| Subjects: | |
| Online Access: | http://www.doiserbia.nb.rs/img/doi/0013-3264/2019/0013-32641920085K.pdf |
| _version_ | 1818016957924900864 |
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| author | Kudryavtsev Andrey |
| author_facet | Kudryavtsev Andrey |
| author_sort | Kudryavtsev Andrey |
| collection | DOAJ |
| description | The study analyses the correlation between abnormal trading volumes
accompanying large stock price changes and subsequent stock price dynamics.
Assuming that abnormal trading volume associated with a large price move may
serve as an indication of the extent of the immediate stock price reaction
to the underlying company-specific shock, I suggest that large price moves
accompanied by relatively high (low) abnormal trading volumes may be
followed by price reversals (drifts). Analysing a large sample of major
daily stock price moves and defining the latter according to a number of
alternative proxies, I document that both large price increases and
decreases accompanied by high (low) abnormal trading volumes are followed by
significant price reversals (drifts) on each of the next two trading days
and over five- and twenty-day intervals following the initial price move,
the magnitude of the reversals (drifts) increasing over longer post-event
windows. The effect remains significant after accounting for additional
company-specific (size, CAPM beta, historical volatility) and event-specific
(stock’s absolute return on the event day) factors, and is robust to
different methods of calculating abnormal returns and to different sample
filtering criteria. |
| first_indexed | 2024-04-14T07:20:19Z |
| format | Article |
| id | doaj.art-0d7d0d06e2f648e390af2afba0811f2d |
| institution | Directory Open Access Journal |
| issn | 0013-3264 1820-7375 |
| language | English |
| last_indexed | 2024-04-14T07:20:19Z |
| publishDate | 2019-01-01 |
| publisher | Faculty of Economics, Belgrade |
| record_format | Article |
| series | Ekonomski Anali |
| spelling | doaj.art-0d7d0d06e2f648e390af2afba0811f2d2022-12-22T02:06:11ZengFaculty of Economics, BelgradeEkonomski Anali0013-32641820-73752019-01-01642208511610.2298/EKA1920085K0013-32641920085KThe effect of trading volumes on stock returns following large price movesKudryavtsev Andrey0The Economics and Management Department, The Max Stern Yezreel Valley Academic College, Emek Yezreel, IsraelThe study analyses the correlation between abnormal trading volumes accompanying large stock price changes and subsequent stock price dynamics. Assuming that abnormal trading volume associated with a large price move may serve as an indication of the extent of the immediate stock price reaction to the underlying company-specific shock, I suggest that large price moves accompanied by relatively high (low) abnormal trading volumes may be followed by price reversals (drifts). Analysing a large sample of major daily stock price moves and defining the latter according to a number of alternative proxies, I document that both large price increases and decreases accompanied by high (low) abnormal trading volumes are followed by significant price reversals (drifts) on each of the next two trading days and over five- and twenty-day intervals following the initial price move, the magnitude of the reversals (drifts) increasing over longer post-event windows. The effect remains significant after accounting for additional company-specific (size, CAPM beta, historical volatility) and event-specific (stock’s absolute return on the event day) factors, and is robust to different methods of calculating abnormal returns and to different sample filtering criteria.http://www.doiserbia.nb.rs/img/doi/0013-3264/2019/0013-32641920085K.pdfabnormal trading volumesbehavioural financelarge Price changesstock Price driftsstock Price reversals |
| spellingShingle | Kudryavtsev Andrey The effect of trading volumes on stock returns following large price moves Ekonomski Anali abnormal trading volumes behavioural finance large Price changes stock Price drifts stock Price reversals |
| title | The effect of trading volumes on stock returns following large price moves |
| title_full | The effect of trading volumes on stock returns following large price moves |
| title_fullStr | The effect of trading volumes on stock returns following large price moves |
| title_full_unstemmed | The effect of trading volumes on stock returns following large price moves |
| title_short | The effect of trading volumes on stock returns following large price moves |
| title_sort | effect of trading volumes on stock returns following large price moves |
| topic | abnormal trading volumes behavioural finance large Price changes stock Price drifts stock Price reversals |
| url | http://www.doiserbia.nb.rs/img/doi/0013-3264/2019/0013-32641920085K.pdf |
| work_keys_str_mv | AT kudryavtsevandrey theeffectoftradingvolumesonstockreturnsfollowinglargepricemoves AT kudryavtsevandrey effectoftradingvolumesonstockreturnsfollowinglargepricemoves |