Is Abnormally Large Volume a Clue?

Tsung-Hsun Lu and Jun- De Lee

International Journal of Economics and Finance, 2016, vol. 8, issue 9, 226-233

Abstract: This paper investigates whether abnormal trading volume provides information about future movements in stock prices. Utilizing data from the Taiwan 50 Index from October 29, 2002 to December 31, 2013, the researchers employ trading volume rather than stock price to test the principles of resistance and support level employed by technical analysis. The empirical results suggest that abnormal trading volume provides profitable information for investors in the Taiwan stock market. An out-of-sample test and a sensitive analysis are conducted for the robustness of the results.

Keywords: trading volume; technical analysis; out-of-sample; Taiwan stock market (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:ibn:ijefaa:v:8:y:2016:i:9:p:226-233

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