Do investors trade more when stocks have performed well? Evidence from 46 countries

• 成果类型: Article
• 署名作者: Griffin, John M.; Nardari, Federico; Stulz, Rene M.
• 署名单位: University System of Ohio; Ohio State University; University of Texas System; University of Texas Austin; Arizona State University; Arizona State University-Tempe; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhl019
• 发表日期: 2007
• 页码: 905
• 关键词: VOLUME; price; MODEL; INFORMATION; volatility; WORLD; PARTICIPATION; liquidity; BEHAVIOR; returns

摘要

This article 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 of 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 high levels of corruption, with short-sale restrictions, and in which market volatility is high.