- Author
- Gurgul Henryk (University of Science and Technology, Cracow, Poland), Wójtowicz Tomasz
- Title
- High-Volume Return Premium : an Event Study Approach
- Source
- Statistics in Transition, 2009, vol. 10, nr 1, s. 129-151, wykr., tab., bibliogr. s. 149-151
- Keyword
- Akcje, Giełda papierów wartościowych, Strategia inwestycyjna, Rynek kapitałowy, Związki dynamiczne, Wolumen obrotu
Shares, Stock market, Investment strategy, Capital market, Dynamic relationships, Trading volume - Note
- summ.
- Abstract
- The dynamic relationships between extreme trading volume and subsequent stock returns on the Warsaw Stock Exchange, the London Stock Exchange, the Frankfurt Stock Exchange and the Vienna Stock Exchange are compared using event study methodology. The dynamic relationship between extreme trading volume and mean abnormal returns on days following an event depends on the stock exchange. This relation is mostly significant and positive in the case of the WSE, the LSE and the VSE, and depends on the nature and size of the stock exchange. The high-volume-return premium is more pronounced for small size stocks with lower liquidity levels. (original abstract)
- Accessibility
- The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business
The Main Library of the Wroclaw University of Economics - Full text
- Show
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- Cited by
- ISSN
- 1234-7655
- Language
- eng