Trading Volume and Short-Horizon Price Pattern: A Cross-Country Test on Three Behavioral Models

Posted: 24 May 2005

See all articles by David K. Ding

David K. Ding

Singapore Management University - Lee Kong Chian School of Business

Thomas H. McInish

University of Memphis - Fogelman College of Business and Economics

Udomsak Wongchoti

Massey University - School of Economics and Finance

Date Written: May 2005

Abstract

We provide a cross-country test on three theoretical models that might explain the relation between trading volume and short-horizon price pattern that gives rise to contrarian/momentum profits. Based on weekly returns of seven Pacific-Basin countries, including Japan, Taiwan, Korea, Hong Kong, Malaysia, Thailand, and Singapore during the period of 1990 to 2000, we find substantial evidence that supports the Lee and Swaminathan (2000) Momentum Life Cycle theory. On the other hand, the behavioural models by Daniel, Hirshleifer, and Subrahmanyam (1998) and Hong and Stein (1999) explain less of the relations found in these countries.

Keywords: Trading volume, price pattern, behavioral model

JEL Classification: G11, G14, G15

Suggested Citation

Ding, David K. and McInish, Thomas H. and Wongchoti, Udomsak, Trading Volume and Short-Horizon Price Pattern: A Cross-Country Test on Three Behavioral Models (May 2005). Available at SSRN: https://ssrn.com/abstract=728163

David K. Ding

Singapore Management University - Lee Kong Chian School of Business ( email )

50 Stamford Road
Singapore, 178899
Singapore
+65 6828-0245 (Phone)

Thomas H. McInish

University of Memphis - Fogelman College of Business and Economics ( email )

Memphis, TN 38152
United States
901-678-4662 (Phone)
901-678-3006 (Fax)

Udomsak Wongchoti (Contact Author)

Massey University - School of Economics and Finance ( email )

Private Bag 11-222
Palmerston North, 30974
New Zealand

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