The empirical relationship between stock return and trading volume based on stock market cycles / Amanda Melissa Christiana, Eva Septiana, Mamduch
Amanda Melissa Christiana;
Eva Dewi Puspitasari, Examiner
(Fakultas Ekonomi dan Bisnis Universitas Indonesia, 2016)
|
| In this paper, we analyze the empirical relationship between stock return and trading volumebased on stock market cycles. Using daily data for Jakarta Composite Index (JCI) closing price andtrading volume from 2010 to 2014, we identify the bull and bear phases, then we analyze the return–volume relationship in both contemporaneous and dynamic context. We find that (1) there is a positivecontemporaneous return–volume relationship in both bull and bear markets, which is only significantin bull markets; (2) no evidence of asymmetry in contemporaneous relationship is found; and (3)there exists a positive unidirectional causality from stock return to trading volume. Our research hastwo implications. First, in the bull market, overconfidence may grow with long-lasting past successand there is also momentum or positive feedback trading. Second, stock return is able to forecasttrading volume. In addition, our findings are robust for different sample period and data frequency. |
| No. Panggil : | |
| Entri utama-Nama orang : | |
| Entri tambahan-Nama orang : | |
| Subjek : | |
| Penerbitan : | [Place of publication not identified]: Fakultas Ekonomi dan Bisnis Universitas Indonesia, 2016 |
| Sumber Pengatalogan : | LibUI eng rda |
| ISSN : | 23563818 |
| Majalah/Jurnal : | Indonesian Capital Market Review |
| Volume : | Vol 8 No 1 January 2016 46-57 |
| Tipe Konten : | text |
| Tipe Media : | computer |
| Tipe Carrier : | online resource |
| Akses Elektronik : | http://journal.ui.ac.id/index.php/icmr/article/view/5186 |
| Institusi Pemilik : | Universitas Indonesia |
| Lokasi : |
| No. Panggil | No. Barkod | Ketersediaan |
|---|---|---|
| TERSEDIA |
| Ulasan: |
| Tidak ada ulasan pada koleksi ini: 20443657 |
