Dynamic Linkages Between Trading Volume and Price Movements: Evidence for Small Firm Stocks

Cetin Ciner
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Cetin Ciner: Northeastern University

Journal of Entrepreneurial Finance, 2003, vol. 8, issue 1, 87-102

Abstract: Recent theoretical and empirical studies suggest that volume conveys useful information to forecast stock price movements. We investigate the information content of volume for the stock indices of small-capitalization firms in the US and France. Information asymmetry problems tend to be more important for small-capitalization firms and it can be argued that the information content of volume should be more significant. We find that volume does indeed forecast returns of the small-capitalization stock indices. We also detect a positive contemporaneous relation between volume and absolute value of returns. The findings are qualitatively the same for data from the US and France.

Keywords: Trading Volume; Price; Small Firms (search for similar items in EconPapers)
JEL-codes: G12 M13 (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (2)

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