The Relationship Between Trading Volume and Stock Returns

The Relationship Between Trading Volume and Stock Returns

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 stud...

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Bibliographic Details
Main Author: Chandrapala Pathirawasam
Format: Article
Language:English
Published: Tomas Bata University in Zlín 2011-09-01
Series:Journal of Competitiveness
Subjects:
trading volume
stock returns
Colombo Stock Exchange
Online Access:http://www.cjournal.cz/files/65.pdf
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spelling doaj-9d6e2f76c99848ec81513e2b001af66a2020-11-24T22:16:42ZengTomas Bata University in ZlínJournal of Competitiveness1804-171X1804-17282011-09-01201134149The Relationship Between Trading Volume and Stock ReturnsChandrapala PathirawasamThis 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.http://www.cjournal.cz/files/65.pdftrading volumestock returnsColombo Stock Exchange
collection DOAJ
language English
format Article
sources DOAJ
author Chandrapala Pathirawasam
spellingShingle Chandrapala Pathirawasam
The Relationship Between Trading Volume and Stock Returns
Journal of Competitiveness
trading volume
stock returns
Colombo Stock Exchange
author_facet Chandrapala Pathirawasam
author_sort Chandrapala Pathirawasam
title The Relationship Between Trading Volume and Stock Returns
title_short The Relationship Between Trading Volume and Stock Returns
title_full The Relationship Between Trading Volume and Stock Returns
title_fullStr The Relationship Between Trading Volume and Stock Returns
title_full_unstemmed The Relationship Between Trading Volume and Stock Returns
title_sort relationship between trading volume and stock returns
publisher Tomas Bata University in Zlín
series Journal of Competitiveness
issn 1804-171X
1804-1728
publishDate 2011-09-01
description 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.
topic trading volume
stock returns
Colombo Stock Exchange
url http://www.cjournal.cz/files/65.pdf
work_keys_str_mv AT chandrapalapathirawasam therelationshipbetweentradingvolumeandstockreturns
AT chandrapalapathirawasam relationshipbetweentradingvolumeandstockreturns
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