Does volume help in predicting stock returns? An analysis of the Australian market
AbstractThis paper presents an analysis of the relationship between trading volume and stock returns in the Australian market. We test this hypothesis by using data from a sample of firms listed on the Australian stock market for a period of 5 years from January 2001 to December 2005. We explore this relationship by focusing on the level of trading volume and thin trading in the market. Our results suggest that trading volume does seem to have some predictive power for high volume firms and in certain industries of the Australian market. However, for smaller firms, trading volume does not seem to have the same predictive power to explain stock returns in Australia.
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Bibliographic InfoArticle provided by Elsevier in its journal Research in International Business and Finance.
Volume (Year): 24 (2010)
Issue (Month): 2 (June)
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Web page: http://www.elsevier.com/locate/ribaf
G12 G14 G15 Volume Stock market returns Binary probit;
Find related papers by 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
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- Vol - - - - - -
- Sto - - - - - -
- mar - - - - - -
- ret - - - - - -
- Bin - Schools of Economic Thought and Methodology - - - - -
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