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The Price-Trading Volume Relationship in the Brazilian Stock Market, the Impact of Stock Lending and a Role for Technical Analysis

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  • Antonio Zoratto Sanvicente

    (EESP-FGV)

Abstract

We examine the relationship between price and volume in the Brazilian stock market. It tests the “V-shaped relationship” developed by Karpoff (1987), identified in several empirical papers for the U.S. market. This is expressed by positive covariance between a stock’s market turnover and the absolute value of that stock’s price change in the same period. This would contradict the implication from weak market efficiency that current price would impound all information. We analyze daily data for 47 stocks covering the period from January 04, 2010 to June 28, 2013. The results indicate that the V-shaped relationship is significant.

Suggested Citation

  • Antonio Zoratto Sanvicente, 2015. "The Price-Trading Volume Relationship in the Brazilian Stock Market, the Impact of Stock Lending and a Role for Technical Analysis," Brazilian Review of Finance, Brazilian Society of Finance, vol. 13(4), pages 631-649.
    • Handle: RePEc:brf:journl:v:13:y:2015:i:4:p:631-649
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    References listed on IDEAS

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    Cited by:

    1. Leandro Maciel, 2020. "Technical analysis based on high and low stock prices forecasts: evidence for Brazil using a fractionally cointegrated VAR model," Empirical Economics, Springer, vol. 58(4), pages 1513-1540, April.

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    More about this item

    Keywords

    Weak-form efficiency; Technical analysis; Price-volume relationship;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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