Contrarian and Momentum Profits during Periods of High Trading Volume preceded by Stock Prices Shocks

Razvan Stefanescu and Ramona Dumitriu
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Razvan Stefanescu: Dunarea de Jos University of Galati, Romania
Ramona Dumitriu: Dunarea de Jos University of Galati, Romania

Risk in Contemporary Economy, 2016, 378-384

Abstract: This paper approaches the opportunities for contrarian and momentum profits during the periods of high trading volume preceded by stock prices shocks. We investigate these aspects for ten stocks from New York Stock Exchange. We found that more than three quarters of the periods of high trading volume were preceded by shocks which occurred less than six working days before. The values of the average excess returns for these periods suggest that opportunities for momentum profits prevailed over those for contrarian profits.

Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:ddj:fserec:y:2016:p:378-384

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