Do Investors Trade More when Stocks have Performed Well? Evidence from 46 Countries

49 Pages Posted: 22 Jul 2004  

John M. Griffin

University of Texas at Austin - Department of Finance

René M. Stulz

Ohio State University (OSU) - Department of Finance; National Bureau of Economic Research (NBER); European Corporate Governance Institute (ECGI)

Federico Nardari

University of Melbourne - Department of Finance

Date Written: April 9, 2005

Abstract

This paper investigates the dynamic relation between market-wide trading activity and returns in 46 markets. Many stock markets exhibit a strong positive relation between turnover and past returns. These findings stand up in the face of various controls for volatility, alternative definitions for turnover, differing sample periods, and are present at both the weekly and daily frequency. The relation is more statistically and economically significant in countries with restrictions on short sales, where corruption is higher, and where the allocative efficiency of the stock market is weaker. The return-volume relation is also stronger for individual investors than for institutional or foreign investors.

JEL Classification: G1

Suggested Citation

Griffin, John M. and Stulz, René M. and Nardari, Federico, Do Investors Trade More when Stocks have Performed Well? Evidence from 46 Countries (April 9, 2005). EFA 2004 Maastricht Meetings Paper No. 5211; Dice Center Working Paper No. 2004-13. Available at SSRN: https://ssrn.com/abstract=567082 or http://dx.doi.org/10.2139/ssrn.567082

John M. Griffin

University of Texas at Austin - Department of Finance ( email )

Red McCombs School of Business
Austin, TX 78712
United States
512-471-6621 (Phone)

HOME PAGE: http://www.jgriffin.info

Rene M. Stulz (Contact Author)

Ohio State University (OSU) - Department of Finance ( email )

2100 Neil Avenue
Columbus, OH 43210-1144
United States

HOME PAGE: http://www.cob.ohio-state.edu/fin/faculty/stulz

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

European Corporate Governance Institute (ECGI)

c/o ECARES ULB CP 114
B-1050 Brussels
Belgium

Federico Nardari

University of Melbourne - Department of Finance ( email )

Faculty of Economics and Commerce
Parkville, Victoria 3010 3010
Australia

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