International evidence on the relationship between trading volume and serial correlation in stock returns

Jory, Surendranath R. and Ngo, Thanh N. (2008) International evidence on the relationship between trading volume and serial correlation in stock returns. Global Journal of Finance and Banking Issues, 2 (2). pp. 1-13. ISSN 1933-3439

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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.

Item Type: Article
Subjects: University of Westminster > Westminster Business School
Depositing User: Miss Nina Watts
Date Deposited: 02 Feb 2010 16:14
Last Modified: 22 May 2013 16:12
URI: http://westminsterresearch.wmin.ac.uk/id/eprint/7472

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