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The Relation between Price Changes and Trading Volume: A Survey

Published online by Cambridge University Press:  06 April 2009

Jonathan M. Karpoff
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Abstract

This paper reviews previous and current research on the relation between price changes and trading volume in financial markets, and makes four contributions. First, two empirical relations are established: volume is positively related to the magnitude of the price change and, in equity markets, to the price change per se. Second, previous theoretical research on the price-volume relation is summarized and critiqued, and major insights are emphasized. Third, a simple model of the price-volume relation is proposed that is consistent with several seemingly unrelated or contradictory observations. And fourth, several directions for future research are identified.

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Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 22 , Issue 1 , March 1987, pp. 109 - 126
Copyright
Copyright © School of Business Administration, University of Washington 1987

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References

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