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INTERNATIONAL EVIDENCE ON THE RELATIONSHIP BETWEEN TRADING VOLUME AND SERIAL CORRELATION IN STOCK RETURNS

Thanh Ngo

Florida Atlantic University, USA.

Surendranath R. Jory

University of Michigan Flint, USA.

ABSTRACT

This paper examines the relationship between trading volume and stock return autocorrelation in different international stock markets. The results show that the relationship is asymmetric among markets and is stronger in those less developed. The relationship is stronger in markets where informed trading based on private information is possible.

Key words: Stock Returns, Trading Volume, Serial Correlation

JEL Classification: G12, G15