Trading Volume and Momentum: The International Evidence

Graham Bornholt, Paul Dou and Mirela Malin
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Paul Dou: Monash University, Australia

Multinational Finance Journal, 2015, vol. 19, issue 4, 267-313

Abstract: We investigate the role of trading volume in predicting the magnitude and persistence of the price momentum phenomenon in markets around the world. Using comprehensive data for 38,273 stocks from 37 countries, we show that past trading volume relates to both the level and persistence of momentum profits. The volume-based early stage momentum strategy outperforms the traditional momentum strategy in 34 out of 37 countries. In addition, we find evidence of a volume effect and we show that the degree of individualism in a country can explain the size of the volume effect in the markets investigated in this paper.

Keywords: early stage momentum; national culture; volume effect; turnover; individualism (search for similar items in EconPapers)
JEL-codes: G12 G14 G15 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:mfj:journl:v:19:y:2015:i:4:p:267-313

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