Momentum And Reversals in Equity - Index Returns During Periods of Abnormal Turnover And Return Dispersion  

Oleh:

Connolly, Robert ; Stivers, Chris

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 58 no. 4 (2003), page 1521-1556.
Topik: TURNOVER; rates of return; securities markets; securities trading volume; correlation analysis; mathematical models; studies
Fulltext: p 1521.pdf (354.01KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We document new patterns in the dynamics between stock returns and trading volume. Specifically, we find substantial momentum (reversals) in consecutive weekly returns when the latter week has unexpectedly high (low) turnover. The pattern is evident in equity indices, index futures, and individual stocks. Similarly, we also find that the autocorrelation in equity - index returns is increasing with the unexpected dispersion across the latter week's firm - level returns. Weeks with extreme turnover and dispersion shocks (both high and low) tend to have more macroeconomic news releases. Our findings hear on understanding price formation and the economic interpretation of turnover and dispersion shocks.

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