Title

Trading Volume and Short Horizon Price Pattern: A Cross-Country Test on Three Behavioral Models

Publication Type

Conference Paper

Publication Date

7-2005

Abstract

We provide a cross-country test on three theoretical models that might explain the relation between trading volume and short-horizon price pattern that gives rise to contrarian/momentum profits. Based on weekly returns of seven Pacific-Basin countries, including Japan, Taiwan, Korea, Hong Kong, Malaysia, Thailand, and Singapore during the period of 1990 to 2000, we find substantial evidence that supports the Lee and Swaminathan (2000) Momentum Life Cycle theory. On the other hand, the behavioural models by Daniel, Hirshleifer, and Subrahmanyam (1998) and Hong and Stein (1999) explain less of the relations found in these countries.

Keywords

Trading volume, price pattern, behavioral model

Discipline

Asian Studies | Finance and Financial Management | Portfolio and Security Analysis

Research Areas

Finance

Publication

Asian Finance Conference, Kuala Lumpur, July 1997

City or Country

Kuala Lumpur, Malaysia

Comments

Awarded Best Paper

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