Dynamic Linkages Between Trading Volume and Price Movements: Evidence for Small Firm Stocks

Authors

Cetin Ciner, Northeastern University

Abstract

Recent theoretical and empirical studies suggest that volume conveys useful information to forecast stock price movements. We investigate the information content of volume for the stock indices of small-capitalization firms in the US and France. Information asymmetry problems tend to be more important for small-capitalization firms and it can be argued that the information content of volume should be more significant. We find that volume does indeed forecast returns of the small-capitalization stock indices. We also detect a positive contemporaneous relation between volume and absolute value of returns. The findings are qualitatively the same for data from the US and France.

JEL Codes

G12, M13

Keywords

Trading Volume, Price, Small Firms

Recommended Citation

Ciner, Cetin (2003) "Dynamic Linkages Between Trading Volume and Price Movements: Evidence for Small Firm Stocks," Journal of Entrepreneurial Finance and Business Ventures: Vol. 8: Iss. 1, pp. 87-102.
DOI: https://doi.org/10.57229/2373-1761.1212
Available at: https://digitalcommons.pepperdine.edu/jef/vol8/iss1/6