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
Date Written: May 14, 2016
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: Suggested Citation