Abstract
ABSTRACTUsing monthly data for 2005–2014 time period, this article documents the relationship between lagged stock returns and trading volume. We show that the dispersion of stock returns in a market portfolio positively affects future trading volume. We also show that extreme negative returns lead to high future trading volume while extreme positive returns have little effect on future trading. Dividing our sample into several sub-samples based on the Standard Industrial Classification (SIC) divisions leads to similar results for most of the SIC divisions.
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