Η δυναμική σχέση μεταξύ των αποδόσεων των μετοχών και της εμπορευσιμότητας τους στην εγχώρια αγορά

Abstract

The idea that extreme trading activity (as measured by trading volume) contains information about the future evolution of stock prices is investigated. Previous studies have documented the positive contemporaneous correlation between a stock’s trading volume and its return. This paper examines the dynamic relations between stock market trading volume and returns for domestic markets by using the daily data of Athens stock Exchange indices. Major findings are as follows: First, trading volume does Granger-cause stock market returns on most of the indices that examined. Second there exists a positive feedback relationship between trading volume and return volatility in most of the indices. Third, sub-sample analyses show evidence of relationship between stock returns and trading volume on most of the indices but this association weakens as the measurement interval shortens. Karpoff [1987] also concludes from a review of prior empirical literature that volume and changes in absolute returns are positively associated but this association weakens as the measurement interval shortens.