2021
DOI: 10.1016/j.irfa.2021.101923
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Trading volume and stock returns: A meta-analysis

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Cited by 18 publications
(13 citation statements)
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References 134 publications
(172 reference statements)
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“…Contrary to the results of the abovementioned studies, a low return induces overconfidence behavior in BIST. According to Bajzik ( 2021 ), the impact of trading volume on stock returns in emerging stock markets has the opposite sign to that on returns in developed markets. This may be a possible reason for the contradictory results of our analysis compared to those of the abovementioned studies.…”
Section: Empirical Results and Discussionmentioning
confidence: 99%
See 1 more Smart Citation
“…Contrary to the results of the abovementioned studies, a low return induces overconfidence behavior in BIST. According to Bajzik ( 2021 ), the impact of trading volume on stock returns in emerging stock markets has the opposite sign to that on returns in developed markets. This may be a possible reason for the contradictory results of our analysis compared to those of the abovementioned studies.…”
Section: Empirical Results and Discussionmentioning
confidence: 99%
“…However, many studies have found evidence that overconfident investors frequently monitor their portfolios and generally very often review their investment strategies daily (Abreu and Mendes 2012 ; Strahilevitz et al 2015 ; Tourani-Rad and Kirkby 2005 ). Moreover, Bajzik ( 2021 ) pointed out that the use of monthly data or VAR models makes the effect of trading volume on returns substantially more negative, thus suggesting caution. Therefore, we used daily data to observe overconfidence, following the relevant literature that suggests that daily activities are related to overconfidence.…”
Section: Data and Empirical Methodologymentioning
confidence: 99%
“…About 60% of collected estimates is based on the same variable transformation -credit growth and the borrower-based index or dummy (see Table 2). One prevailing variable transformation allows us to provide an empirical summary of the effect of changes to the borrower-based limits on bank lending which provides a significant benefit compared to a unitless standardized effect approach (Doucouliagos and Laroche, 2003;Ahmadov, 2014;Valickova et al, 2015;Bajzik, 2021). 3 Our findings will let us draw more convincing conclusions not only on the true direction of the analyzed effect but also on the determinants of the observable heterogenenity in the estimates.…”
Section: Collection Process and Formation Of The Datasetmentioning
confidence: 90%
“…The recent study on NYSE done by Yoni (2013) found that there is a positive contemporaneous relationship between return and trading volume, which contradicts Huang and Heian(2010) and supports Granger and Morgenstern (1963) and Gallant and Rossi (1990). The fundamentalists' studies such as Huana, Capretz and Ho (2021), Malinowska (2010), Wu, Liu, Zou and Weng(2022) and Bajzik (2020) empirically evidence that the stock price adjustment is due to the information released. That is, the price response to public new information is gradual and accompanied by increases in trading activities.…”
Section: Introductionmentioning
confidence: 90%