Volume autocorrelation,information, and investor trading |
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| Institution: | 1. School of Management, Harbin Institute of Technology, China;2. Naveen Jindal School of Management, University of Texas at Dallas, USA;3. School of Economics, Heilongjiang University of Science and Technology, China;1. Mendoza College of Business, University of Notre Dame, Notre Dame, IN 46556, United States;2. Rutgers Business School, Piscataway, NJ 08854, United States |
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| Abstract: | This study investigates whether the widely documented daily correlated trading volume of stocks is driven by individual investor trading, institutional trading, or both. We find that at least 95% of NYSE and AMEX stocks exhibit statistically significant, positive serial correlation. Volume autocorrelation decreases with the level of institutional ownership of a stock. We also show that the rate of arrivals of new information to the market contributes to the clustering of trades. When there is high information flow to the market, institutional trading generates a more pronounced effect on volume autocorrelation than individual investor trading. Our results are broadly consistent with the predictions of trading volume patterns suggested by most theoretical models of stock trading and by empirical research on investor trading. |
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