High Trading Volume Research Articles

Artificial economic life: a simple model of a stockmarket

We describe a model of a stockmarket in which independent adaptive agents can buy and sell stock on a central market. The overall market behavior, such as the stock price time series, is an emergent property of the agents' behavior. This approach to modelling a market is contrasted with conventional rational expectations approaches. Our model does not necessarily converge to an equilibrium, and can show bubbles, crashes, and continued high trading volume.

The Market's Reaction to the Release of Drill-Core Assay Results by Junior Mining Firms

The abnormal returns and volumes of a sample of junior resource companies who publicly released drill-core assay results are studied. Firms with favorable assay result announcements exhibited a liquid market for both event window panes, whereas firms with unfavorable assay result announcements exhibited a liquid market for the pre-and near-center part of the postannouncement panes of their event windows. Firms with favorable announcements exhibited statistically significant positive abnormal returns prior to (and during) the week of such announcements, and statistically significant negative abnormal returns after such announcements. Firms with unfavorable announcements exhibited statistically significant negative abnormal returns before and after such announcements. Participants who sold short into the abnormally high trading volumes prior to such announcements potentially would have earned abnormal returns by covering their short positions after the public announcements. However, the profitable realization of these identified large abnormal returns for a real-world trader can be expected to be severely constrained by the impact of bid-ask spreads, brokerage costs, and various institutional impediments (such as stringent short-sale regulations and the absence of “official” market makers).

Trading volume, management solicitation, and shareholder voting

In an investigation of possible relationships between shareholder voting turnout, trading volume after the record data, and the intervals between the record and meeting dates, we find that higher trading volume and more trading days between the record date and the receipt of proxy materials both reduce voting turnout. A longer interval between the receipt of proxy materials and the meeting increases turnout, as does greater solicitation expense. Our tests show that management mails proxies further in advance of the meeting when its proposals require a majority of shares outstanding, as opposed to votes cast, for approval.

Stock Price Reactions to The Wall Street Journal's Securities Recommendations

This paper examines the impact of the Heard-on-the-Street (HOTS) column of The Wall Street Journal on common stock prices. The results of the study indicate that the HOTS column appears to have an impact on stock prices on the publication day; however, we also find a smaller, but statistically significant, impact on two days preceding the pub? lication. The significant abnormal returns on these days are associated with higher trading volume. The reaction of stock prices is symmetric with respect to the buy and sell recom? mendations, and the impact of single-company recommendations is greater than the im? pact of the multi-company recommendations. I. Introduction The efficient market hypothesis assumes that security prices fully and instantaneously reflect all available information. Considerable evidence has been accumulated during the past decades in support of the hypothesis. The acceptance of the hypothesis has raised questions about the economic value of professional investment advice. If the market is efficient, then the management of port? folios based on these recommendations should not consistently outperform the market. Why, then, are investors still willing to pay for this information? Examples of the advice include low-cost financial publications, brokerage house rec? ommendations, and subscription financial newsletters that sell for hundreds of dollars. Recent studies argue that investment advisors can provide information to investors at a lower cost than the investors' cost of information production. Millon and Thakor (1985) develop a model that explains the existence of investment advisory agencies. They argue that if the information of investment advisory agencies permits security analysts to share information about common uncertainties that affect the value of firms as a whole (such as the return on the market portfolio), then investment advisory agencies can produce information more cheaply than individual investors. This model is consistent with the study of

Past price changes and current trading volume

18 .^ B 0th price and trading volume of common stock are believed to respond promptly to new information. There are, however, no comparable theoretical arguments for a relationship between past information and current trading volume. It is possible, for example, that investors responding to tax incentives may seek to realize capital losses or to avoid realizing gains months after release of information that generated the gains or losses. Thus evidence that this month's trading volume is systematically related to events in previous months can provide insights into further motives for trading. This study uses price patterns in previous months to explain trading volume in the current month. We find that past price changes do influence current incentives to trade for both tax and non-tax motives. Volume tends to be higher than normal for winners (stocks that performed well in the prior period) and lower than normal for losers. The influence of tax-related motives is shown by seasonal variations in the relationship between past price changes and volume. Specifically, the trading volume of losers is higher than normal in December, and winners show a relatively higher trading volume in January. Our methodology does not permit us to distinguish clearly among the various non-tax motives for trading. Some of these motives are consistent with customary ideas about rational behavior; others are not. This study is based on Lakonishok and Smidt [198#6], which can be consulted for technical details [

Intra-industry trade under perfect monopolistic competition

This paper applies the analysis of perfect monopolistic competition, developed earlier by the author, to the problem of intra-industry trade. It is shown that a high volume of intra-industry trade can be expected even between economies which are identical in all respects and thus between which no trade would be predicted on the basis of comparative advantage. It is shown that similar economies may generate more mutual trade than dissimilar ones, and that tariffs may sometimes increase intra-industry trade.