An investigation of Price – Volume intraday patterns under “Bull” and “Bear” market conditions

Christos Alexakis, Panayotis Alexakis and Manolis Xanthakis

European Research Studies Journal, 2003, vol. VI, issue 3-4, 53-66

Abstract: There has been a common belief among stock market practitioners that stock prices move along with trading volume creating certain patterns in price and volume formation. Nevertheless, the above argument was hardly recognised by the academic community since for a number of years statistical results indicated that the stock market is an efficient market i.e. a market where past available information is of no use in predicting future returns profitably, and/or non rational factors do not influence stock prices; The last decade the research for market efficiency was expanded and the use of new large data sets and advanced techniques indicated deviations from the predictions of the Efficient Market Hypothesis (E.M.H.). This study investigates whether there exists a relationship between stock returns and trading volume in the Athens Stock Exchange (A.S.E.) and if such a relationship forms evidence against the E.M.H. We believe that we add to the research in this area since we use intraday data and investigate for a possible relationship under different market states and for different categories of shares.

Keywords: informational efficiency; stock prices; trading volume; causality (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Date: 2003
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.ersj.eu/repec/ers/papers/03_34-p4.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ers:journl:v:vi:y:2003:i:3-4:p:53-66

Access Statistics for this article

More articles in European Research Studies Journal from European Research Studies Journal
Bibliographic data for series maintained by Marios Agiomavritis ().