Abstract

https://ssrn.com/abstract=2693055
 


 



Trading Volume and Momentum: The International Evidence


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

November 19, 2015

Multinational Finance Journal, Vol. 19, No. 4, p. 267-313, 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.

Number of Pages in PDF File: 47

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

JEL Classification: G12, G14, G15


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Date posted: November 24, 2015  

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

Contact Information

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)
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