The Relationship Between Trading Volume and Stock Returns
Chandrapala Pathirawasam
Klíčová slova
trading volume, stock returns, Colombo Stock Exchange
Abstrakt:
This study examines the relationship between trading volume and stock returns. The sample
of the study consists of 266 stocks traded at the Colombo Stock Exchange (CSE) from
2000-2008. This study follows the conventional methodology used by Jagadeesh and Titman
(Jagadeesh and Titman, 1993). The study revealed that stock returns are positively related to
the contemporary change in trading volume. Further, it was found that past trading volume
change is negatively related to stock returns. Investor misspecification about future earnings or
illiquidity of low volume stocks can be the reason for the negative relationship between trading
volume and stock returns.
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