@article{ART003100238},
author={Yeong Jun Kim and Sang Been Yim and Kisung Yang},
title={On the Usefulness of Trading Volume as a Trading Indicator},
journal={Asset Management Review},
issn={2288-6672},
year={2024},
volume={12},
number={1},
pages={1-30}
TY - JOUR
AU - Yeong Jun Kim
AU - Sang Been Yim
AU - Kisung Yang
TI - On the Usefulness of Trading Volume as a Trading Indicator
JO - Asset Management Review
PY - 2024
VL - 12
IS - 1
PB - Institute of Management Research, SungKyunKwan University
SP - 1
EP - 30
SN - 2288-6672
AB - This paper aims to investigate the usefulness of trading volume in terms of investment strategy in the KOSPI market. We construct the long-short portfolios which buy stocks with strong net buying and sells stocks with weak net-buying by an investor group. We consider three types of investor groups (domestic retail, domestic institutional, and foreign investors) and employ seven kinds of net-buying strength measures, including those proposed by previous studies.
Unlike most previous studies whose net-buying measures are calculated from long-term (more than 6 months) or short-term (less than 1 month) trading data, we apply medium-term (1-3 months) trading data reflecting the trading volume contributions and average stock holding periods of each type of investors in the KOSPI market.
The main findings are as follows. First, the portfolios following retail investors’ net-buying show significant alphas regardless of the choice of the net-buying measures, sample period, and portfolio holding period. On the other hand, the portfolios following foreign investors’ net-buying produce negative alphas for most cases. The portfolios following institutional investors’ net-buying exhibit insignificant alphas. Second, the results is closely related to the reversal trading patterns of retail investors and the reversal phenomenon in the KOSPI market. Lastly, with net-buying strength measures calculated from long-term sample period, the portfolios following foreign investors’ net-buying shows the highest performances similar to previous studies.
This implies that the net-buying strength measures with sample period consistent to the stock holding period have significance as trading indicators.
KW - Investor type;Korean stock market;Net-buying strength;Reversal;Trading volume
DO -
UR -
ER -
Yeong Jun Kim, Sang Been Yim and Kisung Yang. (2024). On the Usefulness of Trading Volume as a Trading Indicator. Asset Management Review, 12(1), 1-30.
Yeong Jun Kim, Sang Been Yim and Kisung Yang. 2024, "On the Usefulness of Trading Volume as a Trading Indicator", Asset Management Review, vol.12, no.1 pp.1-30.
Yeong Jun Kim, Sang Been Yim, Kisung Yang "On the Usefulness of Trading Volume as a Trading Indicator" Asset Management Review 12.1 pp.1-30 (2024) : 1.
Yeong Jun Kim, Sang Been Yim, Kisung Yang. On the Usefulness of Trading Volume as a Trading Indicator. 2024; 12(1), 1-30.
Yeong Jun Kim, Sang Been Yim and Kisung Yang. "On the Usefulness of Trading Volume as a Trading Indicator" Asset Management Review 12, no.1 (2024) : 1-30.
Yeong Jun Kim; Sang Been Yim; Kisung Yang. On the Usefulness of Trading Volume as a Trading Indicator. Asset Management Review, 12(1), 1-30.
Yeong Jun Kim; Sang Been Yim; Kisung Yang. On the Usefulness of Trading Volume as a Trading Indicator. Asset Management Review. 2024; 12(1) 1-30.
Yeong Jun Kim, Sang Been Yim, Kisung Yang. On the Usefulness of Trading Volume as a Trading Indicator. 2024; 12(1), 1-30.
Yeong Jun Kim, Sang Been Yim and Kisung Yang. "On the Usefulness of Trading Volume as a Trading Indicator" Asset Management Review 12, no.1 (2024) : 1-30.
