Trading volume and short-horizon contrarian profits: Evidence from the Malaysian market

Pacific Basin Finance Journal

Volumn 8, Issue 1, 2000, Pages 67-84

  Hameed, Allaudeen ^a   Ting, Serena ^b  

^a NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

^b DBS Bank   (Singapore)

Author keywords

Contrarian strategy; G14; G15; Malaysian stock market; Predictability; Stock returns; Trading volume

Indexed keywords

EID: 0006179891     PISSN: 0927538X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0927-538X(99)00029-3     Document Type: Article

References (13)

1. Badrinath S.G., Kale J., Noe T. Of shepherds, sheep, and cross-autocorrelations in equity returns. Review of Financial Studies. 8:1995;401-430.
2. Bekaert G., Harvey C. Emerging equity market volatility. Journal of Financial Economics. 43:1997;29-77.
3. Blume E., Easley D., O'hara M. Market statistics and technical analysis: The role of volume. Journal of Finance. 49:1994;153-181.
4. Bodoukh J., Richardson M., Whitelaw R. A tale of three schools: Insights on autocorrelations of short-horizon stock returns. Review of Financial Studies. 7:1994;539-573.
5. Campbell J., Grossman S., Wang J. Trading volume and serial correlation in stock returns. Quarterly Journal of Economics. 108:1993;905-939.
6. Chordia, T., Swaminathan, B., 1999. Differential speeds of adjustment, cross-autocorrelations, and reaction to earnings announcements, Journal of Finance, forthcoming.
7. Conrad J., Gultekin M., Kaul G. Profitability of short-term contrarian portfolio strategies: Implications for market efficiency. Journal of Business and Economic Statistics. 15:1997;379-386.
8. Conrad J., Hameed A., Niden C. Volume and autocovariances in short-horizon individual security returns. Journal of Finance. 49:1994;1305-1329.
9. Hameed A. Time-varying factors and cross-autocorrelations in short-horizon stock returns. The Journal of Financial Research. 20:1997;435-458.
10. Jegadeesh N., Titman S. Overreaction, delayed reaction and contrarian profits. Review of Financial Studies. 8:1995;973-994.
11. Lehmann B. Fads, martingales, and market efficiency. Quarterly Journal of Economics. 105:1990;1-28.
12. Lo A., MacKinlay C. When are contrarian profits due to market overreaction? Review of Financial Studies. 3:1990;175-206.
13. Roll R. A simple implicit measure of the effective bid-ask spread in an efficient market. Journal of Finance. 39:1984;1127-1139.