Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/147448
Title: MARKET STATES, TRADING VOLUME AND MOMENTUM PROFITS
Authors: GAO SONGYANG
Issue Date: 2008
Citation: GAO SONGYANG (2008). MARKET STATES, TRADING VOLUME AND MOMENTUM PROFITS. ScholarBank@NUS Repository.
Abstract: Inspired by the anormalies of momentum effect and long term reversal documented in the finance literature, this study seeks to report the evidence and provide possible explanations of the volume-momentum relationship in the up and down markets respectively. We confirm the results of Cooper, Gutierrez and Hameed (2004) and Hou, Peng and Xiong (2006) that the momentum profits increase with trading volume in the overall market, and long term price reversal is present in both market states. We contribute to the finance literature in documenting that momentum profits rise with trading volume in up market, while there is little pattern in the short run momentum profits across trading volume quintiles in down markets. We also spot faster long run reversals for higher volume stocks in both the up and overall markets. We seek to provide explanations to such evidence by leveraging on the attention theory and the over-reaction models and realize that these cognitive theory and models do explain to a large extent (but not all of) the evidence presented.
URI: http://scholarbank.nus.edu.sg/handle/10635/147448
Appears in Collections:Bachelor's Theses

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