41
The Rela ionship Be ween T ading Volume
and S ock Re u ns
Chand apala Pa hi awasam
Abs ac
This s udy examines he ela ionship be ween ading olume and s ock e u ns. The sam-
ple o he s udy consis s o 266 s ocks aded a he Colombo S ock Exchange (CSE) om
2000-2008. This s udy ollows he con en ional me hodology used by Jagadeesh and Ti man
(Jagadeesh and Ti man, 1993). The s udy e ealed ha s ock e u ns a e posi i ely ela ed o
he con empo a y change in ading olume. Fu he , i was ound ha pas ading olume
change is nega i ely ela ed o s ock e u ns. In es o misspeci ica ion abou u u e ea nings o
illiquidi y o low olume s ocks can be he eason o he nega i e ela ionship be ween ading
olume and s ock e u ns.
Key wo ds: ading olume, s ock e u ns, Colombo S ock Exchange
1. INTRODUCTION
Fama poin s ou ha a ma ke is weak- o m e icien i all he in o ma ion con ains in pas s ock
p ices ully e lec in cu en p ices (Fama, 1970, 1991). This implies ha pas secu i y p ices
can no be used o p edic he u u e p ice changes and hence, echnical analysis ools ha e no
alue. In con as , echnical analys s belie e ha in o ma ion con ained in pas secu i y p ices
is no ully inco po a ed in cu en secu i y p ices, and hence, hey belie e ha by obse ing
he pas secu i y p ices, in o ma ion can be ob ained on u u e secu i y p ices. The e o e, i is
an in e es ing opic in inance o asce ain whe he a ma ke is week- o m e icien .
Technical analys s s ongly belie e ha “I akes olume o make p ice mo e” (Kapo , 1987).
The ea ly s udies on olume-p ice ela ion sugges ha he e a e posi i e ela ions be ween
he absolu e alue o daily p ice changes and daily olume o bo h ma ke indices and indi-
idual s ocks. (see, o e.g., Ying, 1966; Wes e ield, 1977; Ru ledge, 1984). The ea ly s udies on
olume-p ice ela ion examined con empo aneous ela ionships be ween ading olume and
absolu e p ice changes. Hence, hey ha e li le ele ance on he p edic abili y o u u e s ock
p ices.
Adding a new pa adigm o he ading olume-p ice ela ionships, Ge a s, Kaniel and Mingel-
g in (KGM) in es iga e he ole o ading ac i i ies in e ms o he in o ma ion i con ains
abou u u e p ices (Ge a s, Kaniel and Mingelg in, 2001). In o he wo ds hey a e in e es ed
in he powe o ading olume in p edic ing he di ec ions o u u e p ice mo emen s. They
ind ha indi idual s ocks whose ading olume usually la ge (small) o e pe iod o a day o a
week, end o expe ience la ge (small) e u ns o e he subsequen mon h.
Li e a u e e eals ha mos o he s udies on olume-p ice ela ionships ha e been done based
on de eloped ma ke s. The e o e his s udy is o empi ically examine he ading olume-p ice
ela ionships in eme ging ma ke o Colombo S ock Exchange. This s udy has wo objec-
i es, i s , o empi ically examine he con empo a y ela ionship be ween he ading olume
joc_3-2011en_ 3.indd 41 30.9.2011 16:58:59
Jou nal o Compe i i eness | Issue 3/201142
change and s ock e u ns. Second, o empi ically examine he in o ma ion con en o pas
ading olume in p edic ing he u u e di ec ion o s ock e u ns.
The s udy used mon hly s ock p ices and ading olume o 266 companies du ing he pe iod
om Feb ua y 2000 o Decembe 2008. This s udy ollows he con en ional me hod widely
adop ed on he momen um li e a u e (Jegadeesh and Ti man, 1993) o o m olume based
ading s a egies. The s udy inds ha ading olume is posi i ely ela ed wi h s ock e u ns
in he con empo a y pe iod and he ela ionship is nega i e when he pas ading olume is
ela ed wi h s ock e u ns.
This pape is o ganized as ollows. In he nex sec ion li e a u e ela e o ading olume–p ice
ela ionship is b ie ly desc ibed. Sample, da a, hypo heses and me hod o compu a ion explain
in sec ion III. In he sec ion IV, main esul s a e p esen ed while las sec ion concludes he
pape .
2. REVIEW OF LITERATURE
S udies on olume–p ice ela ion go back o 1950s. Osbo ne shows a heo e ical ela ion be-
ween olume and p ice (Osbo ne, 1959). Mos o he ea ly s udies ind posi i e co ela ion
be ween he absolu e alue o daily p ice changes and daily olume o bo h ma ke indices and
indi idual s ocks. G ange and Mo gens e n conduc an ea ly empi ical s udy based on New
Yo k S ock Exchange (NYSE) composi e index om 1939-1961(G ange and Mo gens e n,
1963). He inds ha he e is no ela ion be ween absolu e alue o daily p ice changes and daily
olume. Howe e , subsequen s udies ind a ela ionship be ween absolu e p ice change and
olume change (see, e.g., Ying, 1966; Co ouch, 1970; Epps and Epps, 1976; Ha is, 1986). In
ecen s udies esea che s ha e ound con empo a y and lag ela ion be ween s ock e u ns and
ading olume (see, e.g., Chen, Fi h and Rui, 2001; Khan and Rizwan, 2001; Lee and Rui,
2002; Pised asalasai and Gunaseka age, 2008).
Taking a new app oach o olume– e u n ela ionship GKM de eloped isibili y hypo hesis
based on iewpoin s o Mille and Maysha (Mille , 1977; Maysha , 1983). Visibili y hypo hesis
holds ha when in es o s ha e di e se opinions abou he alue o a s ock, he ade s who
bough he s ock a e op imis ic abou i s alue. Fu he , when he s ock’s supply is limi ed by
sho selling o ma gin ading hen he opinion o he pessimis ic in es o s will no inco po-
a e in o he s ock p ice and he s ock p ice will be bias. GKM poin ou ha unde such si u-
a ion, any posi i e shock in numbe o ade s gi ing a en ion o he s ock (GKM named as
inc ease in he s ock’s isibili y) will inc ease demand o he s ock (because numbe o buye s
inc ease). Howe e , supply o he s ock will emain cons an (no excess in sales). Hence, ol-
ume and p ice mo e posi i ely. The e o e, he isibili y hypo hesis sugges s ha unde ma ke
cons ain s, i mo e ade s’ a en ion is a ac ed on a s ock i s ading olume and p ice will
inc ease.
Visibili y hypo hesis is i s es ed by GKM and subsequen ly by Huang and Heian (Huang
and Heian, 2010). GKM examine he ela ionship be ween cu en ading olume wi h u-
u e e u ns o NYSE om 1963 o 1996 o bo h daily and weekly da a. Numbe o sha es
aded is used as he measu e o ading olume. Po olios a e o med in acco dance wi h he
Jegadeesh and Ti man app oach (Jegadeesh and Ti man, 1993). They o med high, medium
joc_3-2011en_ 3.indd 42 30.9.2011 16:58:59
43
and low olume po olios based on daily and weekly da a and wi hou ebalancing kep hese
po olios o 1, 10, 20, 50 o 100 ading days. S udy inds ha po olios wi h high ading
olume ended o be ollowed by high e u ns and ice e sa. This high- olume e u n p e-
mium is ue when he o ma ion pe iod is day o a week. I las ed a leas 20 ading days and
a mos 100 ading days.
Huang and Heian examine he isk adjus ed high alue p emium based on all i ms lis ed on
NYSE and AMEX om Augus 1963 o Decembe 2005 (Huang and Heian, 2010). They use
he con en ional me hod widely used by momen um li e a u e (Jegadeesh and Ti man 1993) o
es he s a egy. Fo ma ion pe iod is 26 weeks and he holding pe iod a ied om 1 week o
52 weeks. They ind s a is ically signi ican abno mal e u ns o high olume minus low ol-
ume po olio o holding pe iods 1-4 weeks. Howe e , hey u he o ind ha as he holding
pe iod inc ease beyond 8 weeks, abno mal e u ns dec ease signi ican ly.
3. DATA AND METHODOLOGY
3.1 Da a
All he da a used in he s udy is aken om he CSE da a lib a y. The sample pe iod co e s 9
yea s om Feb ua y 2000 o Decembe 2008. The sample o he s udy includes all he lis ed
s ocks in he CSE. This sample includes e en delis ed s ocks in o de o add ess he p oblem
o su i o ship bias1. The e o e he o al sample includes 266 companies.
3.2 Me hodology
Volume e u n- ela ionships a e examined in wo ways. Fi s , he con empo a y ela ion be-
ween changes in olume- e u n is examined and nex he ela ionship be ween pas ading
olume and u u e s ock e u ns a e examined. Change in olume and mon hly s ock e u ns
a e compu ed as ollows.
The a iables used in he s udy a e mainly mon hly indi idual s ock p ices and numbe o
s ocks aded. Pe cen age mon hly e u ns a e compu ed using indi idual s ock p ices as ol-
lows.
100
1,
1,,
,
u



i
i i
i
P
PP
R
i
R
,
= Capi al gain e u ns o he
i
h sha e in he mon h
.
i
P
, = P ice o he
i
h sha e a he end o mon h
.
= P ice o he
i
h sha e a he end o he p e ious mon h.
1,  i
P
Pe cen age mon hly e u ns a e adjus ed o di idends, igh issues and bonus issues on he
basis o ein es men assump ion a he end o he mon h in which ex-da e occu ed. The ol-
lowing o mula is used o compu e he mon hly ading olume changes.
1 Ko ha i, Shanken and Sloan show ha he da a selec ion biases including a su i o bias signi ican ly a ec ed
on he anomalies (Ko ha i, Shanken and Sloan, 1995).
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Jou nal o Compe i i eness | Issue 3/201144
1,
1,,
)(



i
i i
Vol
VolVol
W
he e,
i
Vol ,
= he ading olume o company i o mon h
1,  i
Vol = he ading olume o company i o p e ious mon h
In o de o examine he con empo a y change in olume- e u n ela ionships, each mon h
s ocks a e anked and g ouped in o h ee po olios as high olume (HV), middle olume and
low olume (LV) po olios based on hei olume change du ing he pas 3, 6 9 and 12 mon hs
and hei a e age e u ns a e compu ed o 3, 6 9 and 12 mon hs unde each pe iod. Nex , he
ela ionship be ween pas ading olume and u u e s ock e u ns a e examined. Each mon h
s ocks a e anked and g ouped in o h ee po olios as HV, middle olume and LV po olios
based on hei olume change du ing he pas 3, 6, 9 and 12 mon hs and hei a e age e u ns
a e compu ed o nex 3, 6, 9 and 12 mon hs unde each pe iod.
3.3 Hypo heses
I he change in ading olume ca ies in o ma ion on s ock e u ns, he e should ha e a
signi ican ela ionship be ween change in olume and s ock e u ns. A e age e u ns o HV
and a e age e u ns o LV po olios a e compa ed o de ec ela ions be ween ading olume
change and s ock e u ns. The e o e, he null hypo hesis (H0) and he al e na i e hypo hesis
(H1) a e de eloped as ollows.
H
0
:
 
0  LVHV RRE
H
1
:


0z
VLHV
RRE
Whe e,
HV
R
= a e age e u ns o high olume po olio
LV
R
= a e age e u ns o low olume po olio
The null hypo hesis explains ha HV po olio and LV po olio has he same expec ed e-
u ns while he al e na i e hypo hesis explains ha expec ed e u ns o HV po olio is di e -
en om ha o LV po olio.
3.4 Tes o signi icance
The signi icance o he e u ns di e ence on ading olume po olios is measu ed using he
pai ed sample – es s. The – alues a e compu ed as ollows.
nVa RnVa R
RR
LVHV
LVHV
// 

joc_3-2011en_ 3.indd 44 30.9.2011 16:59:00
45
4. RESULTS
This s udy has wo objec i es. Fi s , o examine he con empo a y ela ionship be ween ad-
ing olume and s ock e u ns and he second objec i e is o examine he ela ionship be ween
pas pe iod ading olume and cu en s ock e u ns (lag olume ela ionship).
4.1 Con empo a y ading olume e ec
The able 1 shows a e age mon hly e u ns o HV, LV and high minus low olume (HmLV)
po olios o 16 es s. Each mon h s ocks a e anked and di ided in o h ee po olios based
on 3,6,9 and 12 mon h change in ading olume and unde each change in olume po olio
a e age e u ns a e compu ed o 3, 6, 9 and 12 mon hs.
Tab. 1 - Con empo a y T ading Volume E ec om 1995-2008. Sou ce: own
J=Fo ma ion Pe iod, K= Holding Pe iod
K=3 K=6 K=9 K=12
J=3
HV
LV
HmLV
1.90
0.17
2.07***
2.00
0.58
1.42***
1.80
0.87
0.93**
1.72
1.07
0.65***
J=6
HV
LV
HmLV
1.08
0.51
0.57***
2.02
0.41
1.61**
1.83
0.80
1.03***
1.72
1.03
0.69***
J=9
HV
LV
HmLV
1.26
0.77
0.49***
1.47
0.91
0.56***
1.92
0.75
1.16***
1.78
1.00
0.78***
J=12
HV
LV
HmLV
1.14
0.97
0.17***
1.42
0.97
0.45***
1.47
1.01
0.46***
1.76
0.91
0.85***
** Signi ican ly di e en om ze o a he 5% le el.
*** Signi ican ly di e en om ze o a he 1% le el.
A a i s look, he able e eals ha all he HV po olios e lec posi i e a e age e u ns and
hey ou pe o m he a e age e u ns o LV po olios. Po olios o med based on 3 mon h
ading olume change and hei 3 mon hs e u ns show highes e u ns di e ence be ween
HV and LV po olios (2.07% a =11.86). The lowes e u ns di e ence be ween high and low
olume po olios epo s when po olios o med based on 12 mon h a e age ading olume
change and held o 3 mon hs. The HV po olios ou pe o m he LV po olios o all he es
po olios epo ed in he able. The e o e, able 1 shows ha he e is a con empo a y ela ion-
ship be ween ading olume change and s ock e u ns.
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4.1 Lag ading olume e ec
Tab. 2 - Lag T ading Volume E ec om 1995-2008. Sou ce: own
J=Fo ma ion Pe iod, K= Holding Pe iod
K=3 K=6 K=9 K=12
J=3
P1
P3
P1-P3
0.74
0.77
-0.03
1.12
1.26
-0.13
1.25
1.40
-0.15
1.37
1.47
-0.10
J=6
P1
P3
P1-P3
0.63
0.92
-0.29***
1.10
1.46
-0.36***
1.28
1.55
-0.27***
1.36
1.61
-0.25***
J=9
P1
P3
P1-P3
0.64
0.88
-0.24**
1.17
1.49
-0.32***
1.32
1.64
-0.31***
1.45
1.08
0.23***
J=12
P1
P3
P1-P3
0.69
0.84
-0.15***
1.11
1.55
-0.44***
1.33
1.68
-0.35***
1.39
1.66
-0.27***
The able 3 e lec s a e age mon hly po olio e u ns when po olios a e o med based on
pas pe iod ading olume changes. Each mon h om Feb ua y 2000 o Decembe 2008,
s ocks a e anked and o m in o 3 equally weigh ed po olios based on 3, 6,9 and 12 mon h
pas change in ading olumes. Subsequen ly, a e age po olio e u ns a e compu ed o he
nex 3, 6, 9 and 12 mon hs o each po olio in he o ma ion pe iod. This makes 16 di e en
es po olios. A a glance, he able shows ha low olume po olios ou pe o m he high
olume po olios o all he po olios epo ed in he able. The a e age e u ns di e ence
is no s a is ically signi ican o he po olios wi h o ma ion pe iod 3 mon hs. The a e age
e u ns di e ences o all he o he po olios epo ed in he able gene a e s a is ically signi i-
can nega i e excess e u ns.
The ou pe o mance o LV po olio o e he HV po olio is con a y o he p e ious ind-
ings (see, Ge a s e al., 2001; Huan and Heian 2010). Fu he , he inding is no in acco dance
wi h he sequen ial a i al o in o ma ion heo y o Copeland (1976) and mix u e o dis ibu-
ion hypo hesis o Epps and Epps (1976). The ou pe o mance o HV po olio e u ns by LV
po olio e u ns can be jus i ied wi h wo easons. Fi s , he highe (lowe ) u u e e u ns o
LV(HV) s ocks can be due o in es o mispe cep ions abou u u e ea nings. Lee and Swami-
na han ound nega i e ela ionship be ween ading olume and e u ns and hey poin ed ou
ha (Lee and Swamina han, 2001):
… analys s p o ide lowe (highe ) long- e m ea nings g ow h o ecas s o low(high) olume s ocks. Howe e , low
(high) olume i ms expe ience signi ican ly be e (wo se) u u e ope a ing pe o mance. Mo eo e , we ind ha
sho -window ea nings announcemen e u ns a e signi ican ly mo e posi i e (nega i e) o low (high) olume i ms
o e each o he nex eigh qua e s.
The same pa e n is obse ed in his s udy also and as Lee and Swamina han poin ed ou ha
his can be due o in es o mispe cep ions abou u u e ea nings o low olume i ms (Lee
joc_3-2011en_ 3.indd 46 30.9.2011 16:59:00
47
and Swamina han, 2001). As a esul o ha ma ke is “su p ised” by he sys ema ically highe
(lowe ) u u e ea nings o low (high) olume i ms.
The second jus i ica ion o he nega i e ela ionship be ween ading olume and e u n is
he liquidi y o he asse s. Da a , Naik and Radcli e ind nega i e ela ionship be ween u u e
s ock e u ns and liquidi y measu ed by s ock u no e a e o all non inancial i ms on he
NYSE om July 31, 1962 h ough Decembe 31, 1991 (Da a , Naik and Radcli e, 1998). As
Da e e al. poin ou he nega i e sign be ween s ock e u n and ading olume con i ms ha
illiquid s ocks o e highe a e age e u ns han liquid s ocks (Da e e al., 1998). This ac is
ele an o CSE also because esea che s ha e ound ha mos o he s ocks a CSE do no
ade equen ly ( see, e.g., Sama akoon, 1996; Pa hi awasam and Idi isinghe, 2011).
5. CONCLUSION
This s udy examines he ading olume e ec on s ock e u ns a Colombo S ock Exchange
om 2000-2008. The s udy adds some impo an indings o he exis ing li e a u e as ading
olume e ec is p o en on ex ensi ely in de eloped ma ke s while li le e idence on de elop-
ing ma ke s.
This s udy examines he ela ionship be ween ading olume change and s ock e u n in wo
s ages. Fi s con empo a y ela ionship be ween ading olume change and s ock e u ns a e
examined and nex , he ela ionship be ween pas pe iod ading olume change and s ock
e u ns a e examined.
The s udy inds ha con empo a y ading olume change is posi i ely ela e wi h he s ock
e u ns. Howe e , he ela ion be ween pas pe iod ading olume change and cu en pe iod
s ock e u ns is nega i e. This means s ocks wi h low ading olume change ou pe o m he
s ocks wi h high ading olume change in he subsequen pe iod. The ou pe o mance o high
olume po olio e u ns by low olume po olio e u ns can be jus i ied wi h wo easons.
The highe (lowe ) pe o mance o low olume (high olume) s ocks can be due o in es o
misspeci ica ion abou u u e ea nings. O else, illiquidi y o low olume can be he eason o
ou pe o mance o low olume s ocks.
As he ading olume has p edic i e powe on s ock e u ns, in es o s can make ading
olume based s a egies o make p o i s and heo e ically his p o ides e idence o weak o m
ine iciency o he CSE.
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Con ac in o ma ion
Chand apala Pa hi awasam. B.Sc, M.Sc, MBA
Tomas Ba a Uni e si y in Zlin, Facul y o Managemen and Economics
Mos ní 5139, 760 01 Zlín, Czech Republic.
Facul y o Comme ce and Managemen S udies, Uni e si y o Kelaniya, S i Lanka
Depa men o Comme ce and Financial Managemen
E-mail: Pa [email protected]
24.
25.
JEL Classi ica ion: G12
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