Volume and autocovariance in short-horizon stock returns

Parisi, Franco; Acevedo, Carlos

doi:10.1016/s1057-5219(01)00054-0

Cited by 12 publications

(3 citation statements)

References 8 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…It should be noted that, although the theoretical models describe the volume-return relationship for individual securities, their implications have also been extensively tested on portfolio data, both using the resulting empirical model similar to our equation (7) on marketwide data (i.e. index returns and volume, e.g., Campbell et al, 1993, Gagnon andKarolyi, 2003) as well as returns and volume of portfolios from a contrarian strategy (Conrad et al, 1994, Coopers, 1999, Parisi and Acevedo, 2001, Gebka, 2005, Alsubaie and Najand, 2009. Similarly, the Sentana and Wadhwani (1992) model of feedback trading has been widely tested on index rather than individual securities" returns (e.g., , Bohl and Siklos, 2008.…”

Section: Resultsmentioning

confidence: 99%

Liquidity Needs, Private Information, Feedback Trading: Verifying Motives to Trade

Gębka

Serwa

2012

SSRN Journal

View full text Add to dashboard Cite

We analyse investors" motives for trading on international stock markets and investigate whether evidence for these motives is robust when time-varying market volatility, changes between calm and turbulent periods, and existence of international financial spillovers are controlled for. Applying the Markov-switching GARCH specification of the standard model commonly used in the literature, we find that trades conducted due to liquidity needs or driven by private information cannot be identified unequivocally in any market, and positive feedback trading becomes predominant when return spillovers from the US market are taken into account.

show abstract

Section: Resultsmentioning

confidence: 99%

Liquidity Needs, Private Information, Feedback Trading: Verifying Motives to Trade

Gębka

Serwa

2012

SSRN Journal

View full text Add to dashboard Cite

show abstract

“…In support, several studies (e.g., Conrad, Hameed and Niden, 1994;Datar, Naik and Radcliffe, 1998;Chordia and Swaminathan, 2000) show that low-(high-)volume firms earn higher (lower) future returns. Along the same lines, Safvenblad (2000) and Parisi and Acevedo (2001) provide international evidence on this volume-based reversal effect, using data from the Swedish and the Chilean markets, respectively. On the other hand, Wang (1994) shows that large volume leads to positive return autocorrelation if speculation is the main motive for trading.…”

Section: Dynamic Endogeneitymentioning

confidence: 87%

The Endogeneity of Trading Volume in Stock and Bond Returns: An Instrumental Variable Approach

Yamani

Rakowski

2019

The Financial Review

View full text Add to dashboard Cite

This paper investigates the joint determination of trading volume and returns. Our approach follows from the argument that trading activity depends on security returns, thus resulting in a reverse causality from returns to trading activity. Using exogenous instruments for security trading activity, we estimate a system of two‐stage simultaneous equations to better model the return‐volume relationship. Our results confirm that returns and trading volume are determined simultaneously in both stock and corporate bond markets and that conclusions about the direction and significance of causality between volume and returns can be reversed once one corrects for the endogeneity of volume.

show abstract

“…Research on short-term autocorrelation, however, has been sparser. Short-term autocorrelation related to volume has been found in Malaysia (Hameed and Ting, 2000), Chile (Parisi and Acevedo, 2001), Taiwan (Shen and Wang, 1998), Turkey (Antoniou et al, 1997), and Sri Lanka (Elyasiani et al, 1996). However, these studies used variations of older methodologies from Conrad et al (1994) or earlier; some of the specifications of the inefficiency were sub-standard enough to raise concerns about data mining.…”

Section: Introductionmentioning

confidence: 99%