Volume 19, Number 4 / December , Pages 223-313
Trading Volume and Momentum: The International Evidence
Multinational Finance Journal, 2015, vol. 19, no. 4, pp. 267-313
Graham Bornholt , Griffith University, Australia
Paul Dou , Monash University, Australia
Mirela Malin , Griffith University, Australia    Corresponding Author

We investigate the role of trading volume in predicting the magnitude and persistence of the price momentum phenomenon in markets around the world. Using comprehensive data for 38,273 stocks from 37 countries, we show that past trading volume relates to both the level and persistence of momentum profits. The volume-based early stage momentum strategy outperforms the traditional momentum strategy in 34 out of 37 countries. In addition, we find evidence of a volume effect and we show that the degree of individualism in a country can explain the size of the volume effect in the markets investigated in this paper.

Keywords : early stage momentum; national culture; volume effect; turnover; individualism
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