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RFS Advance Access published online on July 1, 2006
Review of Financial Studies, doi:10.1093/rfs/hhl019
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© The Author 2006. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For permissions, please email: journals.permissions@oxfordjournals.org

Article

Do investors trade more when stocks have performed well? Evidence from 46 countries

John M. Griffin 1, Federico Nardari 2, and René M. Stulz 3 *
1 University of Texas at Austin
2 Arizona State University
3 The Ohio State University, Fisher School of Business, Columbus, OH 43210

* To whom correspondence should be addressed.
René M. Stulz, E-mail: stulz{at}cob.ohio-state.edu


  Abstract

This paper investigates the dynamic relation between market-wide trading activity and returns in 46 markets. Many stock markets exhibit a strong positive relation between turnover and past returns. These findings stand up in the face of various controls for volatility, alternative definitions of turnover, differing sample periods, and are present at both the weekly and daily frequency. The relation is more statistically and economically significant in countries with high levels of corruption, with short-sale restrictions, and in which market volatility is high.


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