Behavioral explanations of trading volume and short-horizon price patterns: An investigation of seven Asia-Pacific markets
We investigate whether behavioral postulations offer any implicit explanation of the country-varying relation between trading volume and price pattern among short-horizon winners/losers in seven Pacific-Basin markets during the period 1990 to 2000. Our findings lend credence to the Lee and Swaminathan [Lee, C. and Swaminathan, B., 2000. Price momentum and trading volume, Journal of Finance 55, 2017-2069.] Momentum Life Cycle explanation that high (low) volume winners (losers) are more likely to experience price reversals, whereas high (low) volume losers (winners), price momentum, in the subsequent period. This observation is especially pronounced in Hong Kong. Other models such as those based on an information diffusion process and overconfidence in glamour stocks offer limited explanation for the relation.
Behavioral Explanations of Trading Volume and Short-Horizon Price Patterns: An Investigation of Seven Asia-Pacific Markets
Finance and Financial Management | Portfolio and Security Analysis
Pacific-Basin Finance Journal
DING, David K.; Mclnish, T.; and Wongchoti, U..
Behavioral explanations of trading volume and short-horizon price patterns: An investigation of seven Asia-Pacific markets. (2008). Pacific-Basin Finance Journal. 16, (3), 183-203. Research Collection Lee Kong Chian School Of Business.
Available at: http://ink.library.smu.edu.sg/lkcsb_research/1151
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