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Trading Volume Levels and Stock Returns: Empirical Behavioral Analysis

Author

Listed:
  • Ouarda Moatemri

    (Faculty of Economics and Management of Sousse, University of Sousse, Tunisia,)

  • Abdelfeteh El-Bori

    (Faculty of Economics and Management of Sfax, University of Tunisia, Sfax 3018, Tunisia)

Abstract

The objective of this paper is to provide an empirical behavioral analysis of the relationship between the trading volume and the future evolution of stock returns. This subject has been examined empirically on the European financial market during 2000-2010. Our empiric findings suggest monotonous relationships between the trading volumes and the schemas of price evolution in terms of the continuity/reversal of prices that vary amongst the trading volume levels as well as amongst the winning and losing shares. Excess volume is thus more dependent on momentum profits for loser portfolios and on contrarian profits for winner portfolios.

Suggested Citation

  • Ouarda Moatemri & Abdelfeteh El-Bori, 2017. "Trading Volume Levels and Stock Returns: Empirical Behavioral Analysis," International Journal of Economics and Financial Issues, Econjournals, vol. 7(3), pages 632-638.
    • Handle: RePEc:eco:journ1:2017-03-84
    as

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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Trading Volume Levels; Momentum Profits; Contrarian Profits; Behavioral Analysis and Loser/Winner Portfolios;
    All these keywords.

    JEL classification:

    • 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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