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| Tekijä: | Säfvenblad, P. |
| Otsikko: | Trading volume and autocorrelation: Empirical evidence from the Stockholm Stock Exchange |
| Lehti: | Journal of Banking and Finance
2000 : AUG, VOL. 24:8, p. 1275-1287 |
| Asiasana: | Stock markets Scandinavia Sweden Europe |
| Vapaa asiasana: | Nordic countries |
| Kieli: | eng |
| Tiivistelmä: | In accordance with studies for other markets, Swedish index returns exhibit high autocorrelation: a. after days of above average performance on the stock market, b. after low absolute returns, c. when trading volume is low, and d. following Fridays. Contrary to the non-synchronous trading and the transaction cost hypotheses, all results extend to individual stock returns. It is concluded that autocorrelation patterns are related to the trading patterns of individual investors, and not the cross-security information processing of the market. |
SCIMA