文章基本信息

标题：The Price-Trading Volume Relationship in the Brazilian Stock Market, the Impact of Stock Lending and a Role for Technical Analysis
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作者：Antonio Zoratto Sanvicente ; Antonio Zoratto Sanvicente ; Antonio Zoratto Sanvicente 等
期刊名称：Brazilian Review of Finance
印刷版ISSN：1984-5146
出版年度：2016
卷号：13
期号：4
页码：631-649
语种：English
出版社：Link to the Brazilian Society of Finance
摘要：We examine the relationship between price and volume in the Brazilian stock market. It tests the “V-shaped relationship” developed by Karpoff (1987), identified in several empirical papers for the U.S. market. This is expressed by positive covariance between a stock’s market turnover and the absolute value of that stock’s price change in the same period. This would contradict the implication from weak market efficiency that current price would impound all information. We analyze daily data for 47 stocks covering the period from January 04, 2010 to June 28, 2013. The results indicate that the V-shaped relationship is significant.
关键词：Weak-form efficiency;Technical analysis;Price-volume relationship;Eficiência de mercado;Análise técnica;Relação preço-volume de negócios