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題名 Can Trading Volume Validate Extreme Price Movements in the Age of Higher Algorithmic Trading Activities?
作者 張清福
Avis, Yu-Jung L.
Chang, Chingfu
Wu, Dandan
貢獻者 會計系
日期 2017
上傳時間 30-Aug-2017 16:04:29 (UTC+8)
摘要 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.
關聯 Journal of Trading, Vol. 12 Issue 2, p73-87
資料類型 article
DOI http://dx.doi.org/10.3905/jot.2017.12.2.073
dc.contributor 會計系zh_TW
dc.creator (作者) 張清福zh_TW
dc.creator (作者) Avis, Yu-Jung L.en_US
dc.creator (作者) Chang, Chingfuen_US
dc.creator (作者) Wu, Dandanen_US
dc.date (日期) 2017
dc.date.accessioned 30-Aug-2017 16:04:29 (UTC+8)-
dc.date.available 30-Aug-2017 16:04:29 (UTC+8)-
dc.date.issued (上傳時間) 30-Aug-2017 16:04:29 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/112316-
dc.description.abstract (摘要) 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.en_US
dc.format.extent 123 bytes-
dc.format.mimetype text/html-
dc.relation (關聯) Journal of Trading, Vol. 12 Issue 2, p73-87en_US
dc.title (題名) Can Trading Volume Validate Extreme Price Movements in the Age of Higher Algorithmic Trading Activities?en_US
dc.type (資料類型) article
dc.identifier.doi (DOI) 10.3905/jot.2017.12.2.073
dc.doi.uri (DOI) http://dx.doi.org/10.3905/jot.2017.12.2.073