Trading Volume and Cross - Autocorrelations in Stock Returns  

Oleh:

Chordia, Tarun ; Swaminathan, Bhaskaran

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 55 no. 2 (2000), page 913-936.
Topik: trading; securities trading volume; rates of return; portfolio management; portfolio performance; securities markets; studies
Fulltext: p 913.pdf (119.07KB)

Ketersediaan

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

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Isi artikel

This paper finds that trading volume is a significant determinant of the lead - lag patterns observed in stock returns. Daily and weekly returns on high volume portfolio lead returns on low volume portfolios, controlling for firm size. Non synchronous trading or low volume protfolio autocorrelations cannot explain these findings. These patterns arise because returns on low volume portfolios respond more slowly to information in market returns. The speed of adjustment of individual stocks confirms these findings. Overall, the results indicate that differential speed of adjustment to informaiton is a significant source of the cross - autocorrelation patterns in short - horizon stock returns.

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