Publication Type

Journal Article

Version

acceptedVersion

Publication Date

6-2008

Abstract

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.

Keywords

Behavioral Explanations of Trading Volume and Short-Horizon Price Patterns: An Investigation of Seven Asia-Pacific Markets

Discipline

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

Research Areas

Finance

Publication

Pacific-Basin Finance Journal

Volume

16

Issue

3

First Page

183

Last Page

203

ISSN

0927-538X

Identifier

10.1016/j.pacfin.2007.01.002

Publisher

Elsevier

Additional URL

https://doi.org/10.1016/j.pacfin.2007.01.002

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