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Do Investors Trade More When Stocks Have Performed Well? Evidence from 46 Countries

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Author Info
Griffin, John M. (U of Texas, Austin)
Nardari, Federico (Arizona State U)
Stulz, Rene M. (Ohio State U)
Abstract

This paper investigates the dynamic relation between market-wide trading activity and returns in 46 markets. Many stock markets exhibit a strong positive relation between turnover and past returns. These findings stand up in the face of various controls for volatility, alternative definitions for turnover, differing sample periods, and are present at both the weekly and daily frequency. The relation is more statistically and economically significant in countries with restrictions on short sales, where corruption is higher, and where the allocative efficiency of the stock market is weaker. The return-volume relation is also stronger for individual investors than for institutional or foreign investors.

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Paper provided by Ohio State University, Charles A. Dice Center for Research in Financial Economics in its series Working Paper Series with number 2005-12.

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Date of creation: Apr 2005
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Handle: RePEc:ecl:ohidic:2005-12

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