دانلود رایگان مقاله شوک های حجم و بازده سهام: یک آزمون جایگزین

Abstract

Using an alternative measure for abnormal trading volume, this article examines the role of volume shock in the generation of stock returns. We find a strong high volume effect at both portfolio and individual stock levels. A strategy that buys stocks experiencing high volume shocks and sells stocks experiencing low volume shocks generates positive returns up to 12 months after formation. The effect is robust after controlling for other stock characteristics that are known to affect stock returns. Our results show that trading volume becomes relatively higher after high volume shocks. Moreover, the relation between volume shocks and stock returns is stronger for stocks that previously failed to catch investors’ attention. This finding is consistent with the view that abnormal trading volume proxies for unobserved attention-grabbing events. However, we find no evidence that volume shocks are priced.

6. Conclusion

Using an alternative measure of volume shocks, this article investigates whether a volume shock effect exists in the Australian equity market. The study provides out-of-sample evidence to the literature and contributes to the understanding of investor behaviors in the Australian market. Academically, the link between volume shocks and stock returns will advance our understanding on the risk-return relation. Practically, trading volume has long been used in technical analysis and the findings of this paper are of interest to technical analysts, since extreme volume shocks could be used as a signal in market timing.

At the portfolio level, we show that an investment strategy that buys stocks experiencing high volume shocks and sells stocks experiencing low volume shocks generates a significant return premium. However, this return premium is strongest over a short investment horizon. Over the long run, there is a reversal in returns associated with extreme volume shocks. The volume shock effect is also observed at the individual stock level. More importantly, the effect is robust after controlling for other firm characteristics that are known to affect stock returns.