INTERNATIONAL EVIDENCE ON THE RELATIONSHIP BETWEEN TRADING VOLUME AND SERIAL CORRELATION IN STOCK RETURNS
Florida Atlantic University, USA.
Surendranath R. Jory
University of Michigan – Flint, USA.
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