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    政大機構典藏 > 商學院 > 會計學系 > 期刊論文 >  Item 140.119/112316
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/112316

    Title: Can Trading Volume Validate Extreme Price Movements in the Age of Higher Algorithmic Trading Activities?
    Authors: 張清福
    Avis, Yu-Jung L.
    Chang, Chingfu
    Wu, Dandan
    Contributors: 會計系
    Date: 2017
    Issue Date: 2017-08-30 16:04:29 (UTC+8)
    Abstract: We take the perspective of the practitioner who focuses on following the longitudinal performance of specific stocks and investigate whether volume may provide guidance on days of extreme price movements. For days of extreme price increases (the winners) and extreme price decreases (the losers), we show that extreme low volume is associated with future return reversal, whereas extreme high volume does not necessarily lead to future return persistence. We look at daily data from 1989 to 2014, and we consider 2004 to be the year when algorithmic trading activities began to intensify. We find that the usefulness of extreme low volume in repudiating extreme price movements has been diminishing since 2004. To the extent that extreme low volume may still be applied to repudiate extreme price movements, a practitioner may limit his or her scope to the low-volume winners and losers of small capitalization. In addition, we use Chinese data from 1992 to 2014 to replicate the tests. We find that the same characteristics are not shown there, indicating a lack of universality of the conclusions we derived from the U.S. data.
    Relation: Journal of Trading, Vol. 12 Issue 2, p73-87
    Data Type: article
    DOI 連結: http://dx.doi.org/10.3905/jot.2017.12.2.073
    DOI: 10.3905/jot.2017.12.2.073
    Appears in Collections:[會計學系] 期刊論文

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