Skip to Main Content
 

Global Search Box

 
 
 
 

Files

File List


ucin1179254828.pdf (1.76 MB)

ETD Abstract Container

Abstract Header

THREE ESSAYS ON TRADING VOLUME

MA, GUOHUA
http://rave.ohiolink.edu/etdc/view?acc_num=ucin1179254828

Abstract Details

2007, PhD, University of Cincinnati, Business Administration : Finance.
Trading volume, a stochastic process that is closely related to returns, has received far less attention in modern finance. Because of the joint hypothesis problem of asset returns, trading volume can often provide unique evidence on financial studies. In Essay 1, I examine the cross-sectional and time series behavior of trading volume for an extended period from 1963 to 2004 on all stocks listed on NYSE/AMEX/NASDAQ exchanges. The cross-sectional analysis shows that trading volume is not linearly related to market capitalization and stock beta. Specially, an inverted U-shape relation represents the relation between stock turnover and market capitalization. Essay 2 provides some empirical evidence on the motivation of investor trades by conducting an event study on analyst recommendation date. I divide data into two event groups: the recommendation reversal group and the recommendation continuation group. I test heterogeneous-belief model by examining the event date share turnover of two event groups. My empirical tests contradict the major implications of Harris and Raviv (1993)’s heterogeneous belief model and are mostly consistent with Wang (1994)’s hypothesis that investors trade for liquidity and informational reasons. In Essay 3, I test market-wide disposition impact by examining the trading volume on historical high and historical low days during a period of 84, 168, 252, and 504 trading days respectively. I hypothesize that abnormal trading volume is the highest on historical high days, lower for normal trading days and lowest for historical low trading days if there is a market-wide disposition effect. My empirical evidence suggests the following: abnormal trading volume is much higher for historical high days, lower for historical low days and lowest for normal trading days. On average, abnormal trading volume on historical low days is about twice as much as that of normal trading days. The evidence supports the hypothesis that the market has strong propensity to realize gains, but the evidence contradicts the hypothesis that investors are unwilling to cut losses.
Dr. Steve Wyatt (Advisor)
139 p.
Business Administration, General
Trading Volume; Heterogeneous Beliefs; Disposition Effect; Informational Trading; Liquidity Trading

Recommended Citations

Citations

  • MA, G. (2007). THREE ESSAYS ON TRADING VOLUME [Doctoral dissertation, University of Cincinnati]. OhioLINK Electronic Theses and Dissertations Center. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1179254828

    APA Style (7th edition)

  • MA, GUOHUA. THREE ESSAYS ON TRADING VOLUME. 2007. University of Cincinnati, Doctoral dissertation. OhioLINK Electronic Theses and Dissertations Center, http://rave.ohiolink.edu/etdc/view?acc_num=ucin1179254828.

    MLA Style (8th edition)

  • MA, GUOHUA. "THREE ESSAYS ON TRADING VOLUME." Doctoral dissertation, University of Cincinnati, 2007. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1179254828

    Chicago Manual of Style (17th edition)

ucin1179254828
1,382
© 2007, all rights reserved.
This open access ETD is published by University of Cincinnati and OhioLINK.