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Dynamic Linkages Between Trading Volume and Price Movements: Evidence for Small Firm Stocks

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  • Cetin Ciner

    (Northeastern University)

Abstract

Recent theoretical and empirical studies suggest that volume conveys useful information to forecast stock price movements. We investigate the information content of volume for the stock indices of small-capitalization firms in the US and France. Information asymmetry problems tend to be more important for small-capitalization firms and it can be argued that the information content of volume should be more significant. We find that volume does indeed forecast returns of the small-capitalization stock indices. We also detect a positive contemporaneous relation between volume and absolute value of returns. The findings are qualitatively the same for data from the US and France.

Suggested Citation

  • Cetin Ciner, 2003. "Dynamic Linkages Between Trading Volume and Price Movements: Evidence for Small Firm Stocks," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, vol. 8(1), pages 87-102, Spring.
    • Handle: RePEc:pep:journl:v:8:y:2003:i:1:p:87-102
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    Cited by:

    1. Bajzik, Josef, 2021. "Trading volume and stock returns: A meta-analysis," International Review of Financial Analysis, Elsevier, vol. 78(C).

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    More about this item

    Keywords

    Trading Volume; Price; Small Firms;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • M13 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration - - - New Firms; Startups

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