Does volume help in predicting stock returns? An analysis of the Australian market
This 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.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hutson, Elaine & Kearney, Colm & Lynch, Margaret, 2008.
"Volume and skewness in international equity markets,"
Journal of Banking & Finance,
Elsevier, vol. 32(7), pages 1255-1268, July.
- Colm Kearney & Margaret Lynch, 2005. "Volume and Skewness in International Equity Markets," The Institute for International Integration Studies Discussion Paper Series iiisdp043, IIIS.
- Barberis, Nicholas & Shleifer, Andrei & Vishny, Robert, 1998.
"A model of investor sentiment,"
Journal of Financial Economics,
Elsevier, vol. 49(3), pages 307-343, September.
- Campbell, John Y & Grossman, Sanford J & Wang, Jiang, 1993.
"Trading Volume and Serial Correlation in Stock Returns,"
The Quarterly Journal of Economics,
MIT Press, vol. 108(4), pages 905-39, November.
- Wang, Jiang & Grossman, Sanford & Campbell, John, 1993. "Trading Volume and Serial Correlation in Stock Returns," Scholarly Articles 3128710, Harvard University Department of Economics.
- John Y. Campbell & Sanford J. Grossman & Jiang Wang, 1992. "Trading Volume and Serial Correlation in Stock Returns," NBER Working Papers 4193, National Bureau of Economic Research, Inc.
- McMillan, David G., 2007. "Non-linear forecasting of stock returns: Does volume help?," International Journal of Forecasting, Elsevier, vol. 23(1), pages 115-126.
- Wang, Changyun & Chin, Shengtyng, 2004. "Profitability of return and volume-based investment strategies in China's stock market," Pacific-Basin Finance Journal, Elsevier, vol. 12(5), pages 541-564, November.
- Conrad, Jennifer S & Hameed, Allaudeen & Niden, Cathy, 1994. " Volume and Autocovariances in Short-Horizon Individual Security Returns," Journal of Finance, American Finance Association, vol. 49(4), pages 1305-29, September.
- Harrison Hong & Jeremy C. Stein, 1999.
"A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets,"
Journal of Finance,
American Finance Association, vol. 54(6), pages 2143-2184, December.
- Harrison Hong & Jeremy C. Stein, 1997. "A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets," NBER Working Papers 6324, National Bureau of Economic Research, Inc.
- Hueng, C. James & McDonald, James B., 2005. "Forecasting asymmetries in aggregate stock market returns: Evidence from conditional skewness," Journal of Empirical Finance, Elsevier, vol. 12(5), pages 666-685, December.
- Joseph Chen & Harrison Hong & Jeremy C. Stein, 2000.
"Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices,"
NBER Working Papers
7687, National Bureau of Economic Research, Inc.
- Chen, Joseph & Hong, Harrison & Stein, Jeremy C., 2001. "Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices," Journal of Financial Economics, Elsevier, vol. 61(3), pages 345-381, September.
- Reinganum, Marc R, 1982. " A Direct Test of Roll's Conjecture on the Firm Size Effect," Journal of Finance, American Finance Association, vol. 37(1), pages 27-35, March.
- Robert Brooks & Robert Faff & Tim Fry & Emma Newton, 2004. "Censoring and its impact on multivariate testing of the Capital Asset Pricing Model," Applied Financial Economics, Taylor & Francis Journals, vol. 14(6), pages 413-420.
- Lesmond, David A., 2005. "Liquidity of emerging markets," Journal of Financial Economics, Elsevier, vol. 77(2), pages 411-452, August.
- Chordia, Tarun & Subrahmanyam, Avanidhar & Anshuman, V. Ravi, 2001. "Trading activity and expected stock returns," Journal of Financial Economics, Elsevier, vol. 59(1), pages 3-32, January.
- Brooks, Robert D. & Faff, Robert W. & Fry, Tim R. L., 2001. "GARCH modelling of individual stock data: the impact of censoring, firm size and trading volume," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 11(2), pages 215-222, June.
When requesting a correction, please mention this item's handle: RePEc:eee:riibaf:v:24:y:2010:i:2:p:146-157. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If references are entirely missing, you can add them using this form.