1 We use average daily turnover as a measure of trading volume. Turnover is defined as the ratio of the number of shares traded to the number of shares outstanding. Any unqualified reference to trading volume henceforth refers to this definition. 2 Studies that characterize price momentum as an underreaction include Jegadeesh and Titman ~1993!, Price Momentum and Trading Volume Abstract Past trading volume predicts both the magnitude and persistence of future price momentum. In the intermediate-term, a strategy of buying past high-volume winners and selling past high-volume losers outperforms a similar strategy based on price momentum alone by 2% to 7% per year. Past trading volume also predicts both the magnitude and persistence of price momentum. Specifically, price momentum effects reverse over the next five years, and high (low) volume winners (losers) experience faster reversals. Collectively, our findings show that past volume helps to reconcile intermediate‐horizon “underreaction” and long PDF | In this study, we investigate whether momentum and other trend-following strategies are profitable when implemented in commodity futures markets. Price Momentum and Trading Volume. I n In the intermediate-term, a strategy of buying past high-volume winners and selling past high-volume losers outperforms a similar strategy based on price momentum alone by 2% to 7% per year. @inproceedings{Lee1998PriceMA, title={Price Momentum and Trading Volume}, author={Charles M. C. Lee and Bhaskaran Swaminathan}, year={1998} } Charles M. C. Lee, Bhaskaran Swaminathan This study shows that past trading volume provides an important link between “momentum” and “value
exist in the absence of a disposition effect -- and its market price. variable is used as a regressor along with past returns and volume to predict future returns,
The Relationship Between Trading Volume and Stock Returns Chandrapala Pathirawasam Adding a new paradigm to the trading volume-price relationships, Gervars, Kaniel and Mingel-grin (KGM) investigate the role of trading activities in terms of the information it contains adopted on the momentum literature (Jegadeesh and Titman, 1993) to Momentum and trend following trading strategies for currencies revisited - combining academia and industry I Janick Rohrbach, Silvan Suremann, Joerg Osterrieder Zurich University of Applied Sciences, School of Engineering, 8401 Winterthur, Switzerland Abstract Momentum trading strategies are thoroughly described in the academic literature and On balance volume (OBV): This momentum indicator compares trading volume to price. The principle behind it is that when trading volume rises significantly without a large change in price, it's an indication of strong price momentum. And if volume decreases, it's understood as a sign that momentum is diminishing. Momentum measures the velocity of price changes as opposed to the actual price levels themselves. Momentum is measured by continually taking price differences for a fixed time period. To create a 10 day period momentum line you would subtract the closing price from 10 days ago from the last closing price. Prices will either continue to decrease, but at a slower pace or stop falling and start to rise. Volume and Reversals. When volume spikes at certain price levels, professional traders know that this is a clear signal of increased interest being shown by traders at that price level.
Conclusions. Our results show Momentum profits to be made in all the Nordic stock markets with 3- factors such as risk (CAPM-beta), market capitalization, trading volume and seasonality. 1.4 Limitations of _list_march06.pdf. Oslo Stock
Finally, to be included in our sample a stock must also have available information on past returns, trading vol- ume, market capitalization, and stock price. Trading 17 Dec 2002 This study shows that past trading volume provides an important link between “ momentum” and “value” strategies. Specifically, we find that Specifically, price momentum effects reverse over the next five years, and high ~ low! volume Even less is known about how past trading volume interacts with past returns in the prediction of future stock returns. Download as a PDF 2 Jun 2015 PDF | In this study, we investigate whether momentum and other trend-following strategies are profitable when implemented in commodity
PDF | In this study, we investigate whether momentum and other trend-following strategies are profitable when implemented in commodity futures markets. Price Momentum and Trading Volume. I n
Conclusions. Our results show Momentum profits to be made in all the Nordic stock markets with 3- factors such as risk (CAPM-beta), market capitalization, trading volume and seasonality. 1.4 Limitations of _list_march06.pdf. Oslo Stock Price and trading volume data of all listed firms in the NYSE and AMEX was collected from CRSP; book to market value and return on equity was collected from Hence, we conclude that there is little evidence to support the profitability of a volume-augmented momentum strategy in the Philippines equity market.
This study shows that past trading volume provides an important link between “ momentum” and “value” strategies. Specifically, we find that firms with high ~low!
exist in the absence of a disposition effect -- and its market price. variable is used as a regressor along with past returns and volume to predict future returns, The average number of firms and their characteristics (average deciles) in terms of Book- to-Market, Sales-to-Price, volume and market capitalization, are In confirmation of volume trading and market influence on stock price (Grinblatt, 1999) study the momentum trading with industry- based strategies. Volume Price Analysis is the ONLY way to reveal the secrets of the market and in doing so, follow the ' not have sufficient momentum to take the market higher. work in this area includes Jegadeesh and Titman (1993) on momentum and In 2005, the dollar value of trading volume on the New York Stock Exchange 12- 11.pdf. DeLong, J. Bradford, Andrei Shleifer, Law- rence H. Summers, and The New York Stock Exchange is an American stock exchange located at 11 Wall Street, Lower In the first three months of 2007, in excess of 82% of all order volume was delivered Following the Black Monday market crash in 1987, NYSE imposed trading curbs "National Historic Landmarks Survey, New York" (PDF).