Dynamic volume-return relationship: evidence from an emerging capital market

Bartosz Gebka

Applied Financial Economics, 2005, vol. 15, issue 14, 1019-1029

Abstract: The relationship between the changes in trading volume and subsequent returns for stocks traded on the Warsaw Stock Exchange (WSE) is tested. High volume stocks are found to experience strong price reversals and low volume stocks to experience weak price reversals and even continuations. Focusing on longer portfolio selection periods does not strengthen these results, and focusing on extreme change in past trading volume and past returns does so only for some high volume portfolios. The sign of volume changes is more informative than the magnitude. The results can be interpreted as evidence of the prevalence of uninformed traders on the WSE.

Date: 2005
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DOI: 10.1080/09603100500278429

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