ARTICLE
ABSTRACT
The dynamic relationships between extreme trading volume and subsequent stock returns on the Warsaw Stock Exchange, the London Stock Exchange, the Frankfurt Stock Exchange and the Vienna Stock Exchange are compared using event study methodology. The dynamic relationship between extreme trading volume and mean abnormal returns on days following an event depends on the stock exchange. This relation is mostly significant and positive in the case of the WSE, the LSE and the VSE, and depends on the nature and size of the stock exchange. The high-volume-return premium is more pronounced for small size stocks with lower liquidity levels.
KEYWORDS
extreme volume; high-volume return premium; investment strategy
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