Do Investors Trade More When Stocks Have Performed Well? Evidence from 46 Countries

John M. Griffin, Federico Nardari and René Stulz

The Review of Financial Studies, 2007, vol. 20, issue 3, 905-951

Abstract: This article investigates the dynamic relation between market-wide trading activity and returns in 46 markets. Many stock markets exhibit a strong positive relation between turnover and past returns. These findings stand up in the face of various controls for volatility, alternative definitions of turnover, differing sample periods, and are present at both the weekly and daily frequency. The relation is more statistically and economically significant in countries with high levels of corruption, with short-sale restrictions, and in which market volatility is high.

Date: 2007
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