The Relation between Price Changes and Trading Volume: A Survey

Jonathan Karpoff ()

Journal of Financial and Quantitative Analysis, 1987, vol. 22, issue 1, 109-126

Abstract: This paper reviews previous and current research on the relation between price changes and trading volume in financial markets, and makes four contributions. First, two empirical relations are established: volume is positively related to the magnitude of the price change and, in equity markets, to the price change per se. Second, previous theoretical research on the price-volume relation is summarized and critiqued, and major insights are emphasized. Third, a simple model of the price-volume relation is proposed that is consistent with several seemingly unrelated or contradictory observations. And fourth, several directions for future research are identified.

Date: 1987
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Persistent link: https://EconPapers.repec.org/RePEc:cup:jfinqa:v:22:y:1987:i:01:p:109-126_01

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