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JOURNAL OF APPLIED BUSINESS AND ECONOMICS
Return and Volume and the 2008 Market Crash
Author(s): Bakhtiar Moazzami, Bahram Dadgostar
Citation: Bakhtiar Moazzami, Bahram Dadgostar, (2013) "Return and Volume and the 2008 Market Crash," Journal of Applied Business and Economics, Vol. 15, Iss. 2, pp. 33-37
Article Type: Research paper
Publisher: North American Business Press
Abstract:
This paper examines the dynamic relationship between stock market trading volume and returns for four
major stock markets: New York, Tokyo, London and Toronto using daily data covering March 1, 2003 to
Nov. 1, 2012 period. We investigate the information content of volume for the stock returns. We find a
positive contemporaneous relation between volume and absolute value of return in all markets. In
addition, we find support for the proposition that lagged volume has predictive power for future absolute
returns. We also investigate whether the 2008 market crash has had a significant impact on the
relationship between the trading volume and return on all markets.
