Open AccessThe Price-Trading Volume Relationship in the Brazilian Stock Market, the Impact of Stock Lending and a Role for Technical Analysis
Author(s) -
Antônio Zoratto Sanvicente
Publication year - 2015
Publication title -
revista brasileira de finanças
Language(s) - English
Resource type - Journals
eISSN - 1984-5146
pISSN - 1679-0731
DOI - 10.12660/rbfin.v13n4.2015.52136
Subject(s) - stock market , economics , stock (firearms) , financial economics , stock price , econometrics , stock exchange , stock market bubble , cost price , monetary economics , finance , geography , paleontology , context (archaeology) , archaeology , series (stratigraphy) , biology
We examine the relationship between price and volume in the Brazilianstock market. It tests the “V-shaped relationship” developed by Karpoff(1987), identified in several empirical papers for the U.S. market. This isexpressed by positive covariance between a stock’s market turnover and theabsolute value of that stock’s price change in the same period. This wouldcontradict the implication from weak market efficiency that current pricewould impound all information. We analyze daily data for 47 stocks coveringthe period from January 04, 2010 to June 28, 2013. The results indicate thatthe V-shaped relationship is significant.