The Influence of Investors’ Positive Feedback Trading on Dynamic Volume-Return Relation

DOI

Bibliographic Information

Other Title
  • 株価モメンタムと出来高の関係
  • —投資家の株価トレンド追随行為からの解明

Description

It is reported that, in individual stocks, a large increase in trading volume indicates stronger return persistence or weaker reversal effects. A reason given for this volume-return relation has been that it can signal the existence of important fundamental news. In this study, we present another plausible explanation. Through empirical analysis, we show that the volume-return relation remains strong even if there is no important fundamental news. Applying market model simulation, we demonstrate that positive feedback in investors’ trading behaviour can cause this volume-return relation. Our findings suggest that the relation can be caused by factors not directly related to fundamental news, especially by investors’ positive feedback trading.

Journal

Related Projects

See more

Keywords

Details 詳細情報について

  • CRID
    1390282680322211968
  • NII Article ID
    130004959894
  • DOI
    10.11167/jbef.3.114
  • ISSN
    21853568
  • Text Lang
    ja
  • Article Type
    journal article
  • Data Source
    • JaLC
    • CiNii Articles
    • KAKEN
  • Abstract License Flag
    Disallowed

Report a problem

Back to top