85th Seminar on Finance and Accounting
December 21, 2016
Topic: Buy and Sell Dynamics Following High Market Returns: Evidence from
Presenter:Martin Young, Professor in Finance,Massey University |
Time: November 28, 2008(Friday)3:00—4:30 PM
Venue: Room 513, Jiageng Bld 2
Chair: Zhe Shen, assistant professor in finance, IFAS
Abstract:
We provide a closer look at the trading dynamics which may give rise to the positive
relationship between market trading volume and its lagged returns. Chinese market turnover
increases sharply with past day returns. A comprehensive dataset which facilitates the tracing
of trading activities among different groups of investors reveals that when previous market
returns are high, investors with larger (smaller) average trade size increase their buy (sell)
volume. Our findings indicate an important role of differing responses to market information
among different classes of investors (e.g. different priors) in explaining this recently
documented phenomenon.
Presenter Introduction:
Dr Martin Young is a Professor of Finance in and Head of the Department of Finance, Banking and Property,
Download: paper