Trading Volume and Momentum: The International Evidence

47 Pages Posted: 24 Nov 2015  

Graham N. Bornholt

Griffith University - Department of Accounting, Finance and Economics

Paul Dou

Monash University

Mirela Malin

Griffith University - Department of Accounting, Finance and Economics

Date Written: November 19, 2015

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.

Keywords: early stage momentum, national culture, volume effect, turnover, individualism

JEL Classification: G12, G14, G15

Suggested Citation

Bornholt, Graham N. and Dou, Paul and Malin, Mirela, Trading Volume and Momentum: The International Evidence (November 19, 2015). Multinational Finance Journal, Vol. 19, No. 4, p. 267-313, 2015. Available at SSRN: https://ssrn.com/abstract=2693055

Graham N. Bornholt

Griffith University - Department of Accounting, Finance and Economics ( email )

Gold Coast Campus
Gold Coast QLD, 4222
Australia

Paul Dou

Monash University ( email )

Wellington Road
Victoria, Roodepoort 3145
Australia

Mirela D. Malin (Contact Author)

Griffith University - Department of Accounting, Finance and Economics ( email )

Gold Coast Campus
Gold Coast, Queensland 4222
Australia
+61 7 5552 7719 (Phone)

Paper statistics

Downloads
236
Rank
106,856
Abstract Views
754