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Dynamic volume–return relationship: evidence from an emerging capital market

Lookup NU author(s): Professor Bartosz GebkaORCiD

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Abstract

The relationship between the changes in trading volume and subsequent returns for stocks traded on the Warsaw Stock Exchange (WSE) is tested. High volume stocks are found to experience strong price reversals and low volume stocks to experience weak price reversals and even continuations. Focusing on longer portfolio selection periods does not strengthen these results, and focusing on extreme change in past trading volume and past returns does so only for some high volume portfolios. The sign of volume changes is more informative than the magnitude. The results can be interpreted as evidence of the prevalence of uninformed traders on the WSE.

Publication metadata

Author(s): Gebka B

Publication type: Article

Publication status: Published

Journal: Applied Financial Economics

Year: 2005

Volume: 15

Issue: 14

Pages: 1019-1029

Print publication date: 01/07/2005

Online publication date: 02/02/2007

ISSN (print): 0960-3107

ISSN (electronic): 1466-4305

Publisher: Routledge

URL: http://dx.doi.org/10.1080/09603100500278429

DOI: 10.1080/09603100500278429

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