International evidence on the relationship between trading volume and serial correlation in stock returns

Ngo, Thanh N and Jory, Surendranath (2008) International evidence on the relationship between trading volume and serial correlation in stock returns. Global Journal of Finance and Banking Issues, 2 (2). pp. 1-13. ISSN 1933-3439

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Abstract

This paper examines the relationship between trading volume and stock return autocorrelation in different international stock markets. The results show that the relationship is asymmetric among markets and is stronger in those less developed. The relationship is stronger in markets where informed trading based on private information is possible.

Item Type: Article
Schools and Departments: School of Business, Management and Economics > Business and Management
Subjects: H Social Sciences > HG Finance > HG0178 Liquidity
Depositing User: Surendranath Jory
Date Deposited: 14 Jun 2012 09:13
Last Modified: 14 Jun 2012 09:13
URI: http://sro.sussex.ac.uk/id/eprint/39571
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