Contrarian and Momentum Profits During Periods of High Trading Volume Preceded by Stock Prices Shocks

International Conference, "Risk in Contemporary Economy", (2016)

8 Pages Posted: 16 May 2016 Last revised: 19 May 2016

See all articles by Razvan Stefanescu

Razvan Stefanescu

University Dunarea De Jos Galati

Ramona Dumitriu

University Dunarea De Jos Galati

Date Written: May 14, 2016

Abstract

This paper approaches the opportunities for contrarian and momentum profits during the periods of high trading volume preceded by stock prices shocks. We investigate these aspects for ten stocks from New York Stock Exchange. We found that more than three quarters of the periods of high trading volume were preceded by shocks which occurred less than six working days before. The values of the average excess returns for these periods suggest that opportunities for momentum profits prevailed over those for contrarian profits.

Keywords: Contrarian Strategy, Momentum Strategy, High Trading Volume, Shocks

JEL Classification: G11, G12, G14

Suggested Citation

Stefanescu, Razvan and Dumitriu, Ramona, Contrarian and Momentum Profits During Periods of High Trading Volume Preceded by Stock Prices Shocks (May 14, 2016). International Conference, "Risk in Contemporary Economy", (2016). Available at SSRN: https://ssrn.com/abstract=2779846 or http://dx.doi.org/10.2139/ssrn.2779846

Razvan Stefanescu (Contact Author)

University Dunarea De Jos Galati ( email )

Str. Domneasc─â, nr. 47
Galati, 800008
Romania

Ramona Dumitriu

University Dunarea De Jos Galati ( email )

Romania

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