Stock Prices and Volume
- 1 April 1992
- journal article
- research article
- Published by Oxford University Press (OUP) in The Review of Financial Studies
- Vol. 5 (2) , 199-242
- https://doi.org/10.1093/rfs/5.2.199
Abstract
We undertake a comprehensive investigation of price and volume co-movement using daily New York Stock Exchange data from 1928 to 1987. We adjust the data to take into account well-known calendar effects and long-run trends. To describe the process, we use a seminonparametric estimate of the joint density of current price change and volume conditional on past price changes and volume. Four empirical regularities are found: (i) positive correlation between conditional volatility and volume; (ii) large price movements are followed by high volume; (iii) conditioning on lagged volume substantially attenuates the “leverage” effect; and (iv) after conditioning on lagged volume, there is a positive risk-return relation.Keywords
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