Article2006

Do Investors Trade More When Stocks Have Performed Well? Evidence from 46 Countries

John M. Griffin · Federico Nardari · René M. Stulz

300 citations0/0 files storedReview of Financial Studies

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Financial Markets and Investment Strategies Corporate Finance and Governance Financial Risk and Volatility Modeling

Abstract

This article investigates the dynamic relation between market-wide trading activity and returns in 46 markets. Many stock markets exhibit a strong positive relation between turnover and past returns. These findings stand up in the face of various controls for volatility, alternative definitions of turnover, differing sample periods, and are present at both the weekly and daily frequency. The relation is more statistically and economically significant in countries with high levels of corruption, with short-sale restrictions, and in which market volatility is high.

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References

1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1990Noise Trader Risk in Financial Markets 1998Generalized impulse response analysis in linear multivariate models 1998Investor Psychology and Security Market Under‐ and Overreactions 1996Impulse response analysis in nonlinear multivariate models 1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets 1998Are Investors Reluctant to Realize Their Losses?1985The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence

Cited by

2015Financial Attention 2015Overconfident Investors, Predictable Returns, and Excessive Trading 2018Social Transmission Bias and Investor Behavior 2006The Cross-Section of Expected Trading Activity 2008Commercial Real Estate Valuation: Fundamentals Versus Investor Sentiment 2012On the High‐Frequency Dynamics of Hedge Fund Risk Exposures 2008

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