Trading Volume, Price Momentum, and the 52-Week High Price Momentum Strategy in the Saudi Stock Market

This paper analyzes momentum investment strategies based on past market data to evaluate the impact of trading volume on price momentum for the Canadian Stock Market. Utilizing variant models of Jegadeesh and Titman (1993) and Lee and Swaminathan (2000), we evaluate the effective time formation/holding periods of portfolios using both past price and trading volume. The findings suggest that taking high trading volume into consideration in momentum investment strategies on the TSX between 1996 to 2004 generally outperformed a strictly price-based momentum strategy for both winners (t= 2.118, p< .05) and losers (t= 2.174, p< .05). The most effective time period for a winning-high-volume portfolio was nine months of formation, starting in April and a 3-month holding period. The holding period is shorter by six months compared to what is suggested by Assogbavi, et al. (2008). In addition, high-volume portfolios consistently bettered low-volume portfolios for both winners (t= 4.121, p< .001) and losers (t= 3.956, p< .001). For investors who base their portfolio construction on momentum investment strategies, these findings suggest that it would be wise to incorporate past trading volume in their selection process.

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Profitability of Volume-based Momentum and Contrarian Strategies in the Indian Stock Market

Global Business Review ◽

10.1177/0972150917692401 ◽

2017 ◽

Vol 18 (4) ◽

pp. 974-992 ◽

Cited By ~ 2

Author(s):

Supriya Maheshwari ◽

Raj S. Dhankar

Keyword(s):

Stock Market ◽

Trading Volume ◽

Investment Strategies ◽

Momentum Strategy ◽

Contrarian Strategy ◽

Life Cycle Theory ◽

Contrarian Strategies ◽

Long Run ◽

Indian Stock Market ◽

Relationship Of

This article investigates the relationship of trading volume with the profitability of momentum and long-run contrarian strategies for the Indian stock market. The result of the study provides support to Lee and Swaminathan (2000, The Journal of Finance, 55(5), 2017–2069) argument that trading volume predicts both the magnitude as well as the persistence of momentum in the long run. The portfolio of heavily traded securities earned higher momentum and contrarian returns as compared to low-trading securities portfolio in the Indian stock market. Hence, returns from both momentum and contrarian portfolios are positively related to the level of trading activity in the security. Further, the results provide evidence in favour of volume-based investment strategies. Both volume-based momentum strategy and volume-based contrarian strategy generate higher return in the Indian stock market as compared to pure momentum and contrarian strategy. In addition, the study provides support to momentum life cycle theory in explaining the relation between trading volume and momentum returns in the Indian stock market. These findings cast strong implication for Indian investors who are continuously engaged in identifying profitable investment strategies that can generate higher returns.

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Analyst Coverage Of Small Cap Firms In A Period Of Brokerage Firm Retrenchment

Journal of Business & Economics Research (JBER) ◽

10.19030/jber.v5i12.2616 ◽

2011 ◽

Vol 5 (12) ◽

Cited By ~ 1

Author(s):

Rich Fortin ◽

Greg Roth

Keyword(s):

Stock Market ◽

Trading Volume ◽

Small Firms ◽

Economic Incentives ◽

Analyst Coverage ◽

Revenue Growth ◽

Price Momentum ◽

Growth Stocks ◽

Regulatory Scrutiny ◽

Glamour Stocks

We examine analysts’ incentives to cover small cap firms in the year 2002, a period following stock market declines and brokerage firm retrenchment.  Brokerage companies were losing a substantial number of sell-side analysts during this period and small firms were having unusual difficulty in attracting analyst coverage.  Consistent with analysts’ normal economic incentives and earlier research, we find that firm size, trading volume, and beta are all positively related to the number of analysts that cover a firm, whereas firm complexity is negatively related to analyst coverage.  In contrast to some earlier research, we find no evidence that analysts were more likely to follow glamour (or growth) stocks.  Specifically, price-to-book and revenue growth are not related to analyst coverage, and recent stock performance (price momentum) is negatively related to analyst coverage.  Our interpretation of this evidence is that analysts had reduced incentives to cover glamour stocks following the severe stock market declines in the early 2000s, the increased regulatory scrutiny of securities firms, and the resulting brokerage firm retrenchment.

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Are Indian Investors Return Chasers? An Anatomy of their Trading Behavior

GIS Business ◽

10.26643/gis.v11i3.3435 ◽

2016 ◽

Vol 11 (3) ◽

pp. 32-44

Author(s):

Martin Bernard ◽

Malabika Deo

Keyword(s):

Equity Returns ◽

Trading Behavior ◽

Momentum Effect ◽

Momentum Strategy ◽

Price Momentum ◽

Momentum Profits ◽

Indian Context ◽

Time Period ◽

Monthly Return ◽

Indian Stock Market

Momentum has remained an unanswered anomaly in finance literature. Researchers have pointed out two arguments, whether the source of prior return anomalies are rational or behavioral. In this paper, we examined return chasing tendency investors and the profitability of probable price momentum strategy in Indian equity market using the monthly return data of equities represented in BSE-500 index encompassing the time period from July 2004 to Jun 2014. Study is an attempt to analyze momentum effect before, during and after the financial crisis of 2007–2009 to check whether investors continue to follow the same strategy during crisis or their behavior undergoes any change. Also study examined the adequacy of rational CAPM models to explain momentum profits. The result evidenced a strong presence of economically and statistically significant momentum profit in Indian stock market equity returns. Therefore return chasing tendency of Indian investors is found to be persistent in the intermediate horizon in Indian context. Closer observation of the results reveals that, Indian investors are winners chasers rather than investor in past losers. Study also confirmed that investors sentiments are volatile according to general market environment and inadequacy of rationalist equilibrium model to explain momentum profits.

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Price Momentum in the New Zealand Stock Market: A Proper Accounting for Transactions Costs and Risk

SSRN Electronic Journal ◽

10.2139/ssrn.1346672 ◽

2009 ◽

Author(s):

Sam Trethewey ◽

Timothy Falcon Crack

Keyword(s):

New Zealand ◽

Stock Market ◽

Transactions Costs ◽

Price Momentum

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Information Asymmetry, Ownership Structure and Cost of Equity Capital: The Formation for Open Innovation

Journal of Open Innovation Technology Market and Complexity ◽

10.3390/joitmc7010048 ◽

2021 ◽

Vol 7 (1) ◽

pp. 48

Author(s):

Ade Imam Muslim ◽

Doddy Setiawan

Keyword(s):

Stock Market ◽

Information Asymmetry ◽

Ownership Structure ◽

Trading Volume ◽

Foreign Ownership ◽

Equity Capital ◽

Cost Of Equity Capital ◽

Cost Of Equity ◽

Ownership Structures ◽

The Cost

Our study aims to investigate how information asymmetry and ownership structure affect cost of equity capital. For that purpose, we collected 246 issuers over 4 years for a total of 984 observations. By using panel data processing, we found that the information asymmetry we proxied through Price non-Synchronization and trading volume had an effect on the cost of equity capital. Our results also confirmed both Agency Theory and Pecking Order Theory. Both theories are in line with the conditions of the stock market in Indonesia. In addition, we found that institutional and foreign ownership structures also had an effect on the cost of equity capital. Furthermore, our results also confirmed Interest Alignment Theory and Entrenchment Theory. Our research is expected to contribute to the debate on the existence of information asymmetry and ownership structures in relation to the cost of equity capital. We also hope that it will be a valuable input for investors in considering their investment. Moreover, from the results of this study, investors can also consider foreign ownership or institutional ownership in determining their investment. In addition, stock market regulators in Indonesia can develop approaches to minimize information asymmetry and encourage foreign investors to invest in Indonesia.

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Relationship between Trading Volume and Asymmetric Volatility in the Korean Stock Market

Modern Economy ◽

10.4236/me.2012.35077 ◽

2012 ◽

Vol 03 (05) ◽

pp. 584-589 ◽

Cited By ~ 11

Author(s):

Ki-Hong Choi ◽

Zhu-Hua Jiang ◽

Sang Hoon Kang ◽

Seong-Min Yoon

Keyword(s):

Stock Market ◽

Trading Volume ◽

Asymmetric Volatility ◽

Korean Stock Market

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Is Abnormally Large Volume a Clue?

International Journal of Economics and Finance ◽

10.5539/ijef.v8n9p226 ◽

2016 ◽

Vol 8 (9) ◽

pp. 226

Author(s):

Tsung-Hsun Lu ◽

Jun-De Lee

Keyword(s):

Stock Market ◽

Large Volume ◽

Stock Prices ◽

Stock Price ◽

Trading Volume ◽

Sensitive Analysis ◽

Support Level ◽

Out Of Sample ◽

Sample Test ◽

Abnormal Trading Volume

This paper investigates whether abnormal trading volume provides information about future movements in stock prices. Utilizing data from the Taiwan 50 Index from October 29, 2002 to December 31, 2013, the researchers employ trading volume rather than stock price to test the principles of resistance and support level employed by technical analysis. The empirical results suggest that abnormal trading volume provides profitable information for investors in the Taiwan stock market. An out-of-sample test and a sensitive analysis are conducted for the robustness of the results.

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