The Price-Trading Volume Relationship in the Brazilian Stock Market, the Impact of Stock Lending and a Role for Technical Analysis

Antonio Sanvicente ()

Brazilian Review of Finance, 2015, vol. 13, issue 4, 631-649

Abstract: We examine the relationship between price and volume in the Brazilian stock market. It tests the “V-shaped relationship” developed by Karpoff (1987), identified in several empirical papers for the U.S. market. This is expressed by positive covariance between a stock’s market turnover and the absolute value of that stock’s price change in the same period. This would contradict the implication from weak market efficiency that current price would impound all information. We analyze daily data for 47 stocks covering the period from January 04, 2010 to June 28, 2013. The results indicate that the V-shaped relationship is significant.

Keywords: Weak-form efficiency; Technical analysis; Price-volume relationship (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (1)

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