title={Trading Volume and Momentum: The International Evidence},
author={Graham Bornholt and Paul Dou and Mirela Malin},
journal={Multinational Finance Journal},
publisher={Multinational Finance Society; Global Business Publications},
keywords={early stage momentum; national culture; volume effect; turnover; individualism},
abstract={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..},