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  • Trading Volume and Momentum: The International Evidence

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    BornholtPUB1996.pdf (409.5Kb)
    Author(s)
    Bornholt, Graham
    Dou, Paul
    Malin, Mirela
    Griffith University Author(s)
    Malin, Mirela D.
    Bornholt, Graham N.
    Year published
    2015
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    Abstract
    We investigate the role of trading volume in predicting the magnitude and persistence of the price momentum phenomenon in markets around the world. Using comprehensive data for 38,273 stocks from 37 countries, we show that past trading volume relates to both the level and persistence of momentum profits. The volume-based early stage momentum strategy outperforms the traditional momentum strategy in 34 out of 37 countries. In addition, we find evidence of a volume effect and we show that the degree of individualism in a country can explain the size of the volume effect in the markets investigated in this paper.We investigate the role of trading volume in predicting the magnitude and persistence of the price momentum phenomenon in markets around the world. Using comprehensive data for 38,273 stocks from 37 countries, we show that past trading volume relates to both the level and persistence of momentum profits. The volume-based early stage momentum strategy outperforms the traditional momentum strategy in 34 out of 37 countries. In addition, we find evidence of a volume effect and we show that the degree of individualism in a country can explain the size of the volume effect in the markets investigated in this paper.
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    Journal Title
    Multinational Finance Journal
    Volume
    19
    Issue
    4
    Publisher URI
    http://www.mfsociety.org/modules/modDashboard/uploadFiles/journals/googleScholar/1176.html
    Copyright Statement
    © 2015 Global Business Publications. The attached file is reproduced here in accordance with the copyright policy of the publisher. Please refer to the journal's website for access to the definitive, published version.
    Subject
    Investment and Risk Management
    Banking, Finance and Investment
    Publication URI
    http://hdl.handle.net/10072/141600
    Collection
    • Journal articles

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