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
Citation
Mclnish, T.; DING, David K.; and Wongchoti, U..
Trading Volume and Short Horizon Price Pattern: A Cross-Country Test on Three Behavioral Models. (2005). Asian Finance Conference, Kuala Lumpur, July 1997.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/725
Comments
Awarded Best Paper