HIGH VOLUME TRADES AND STOCK PRICE CHANGES IN BRAZIL

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Andre Carvalhal, Cesar Martins, Otavio Figueiredo

DOI:10.22495/cocv11i1art8

Abstract

This work analyzes the relation between stock price changes and high volume trades in Brazil. Using a unique intra-day database, we evaluate 10 of the most liquid shares from 2001 to 2006. Unlike most international studies, which are based on data from funds or institutional investors, this article breaks new ground by working with publicly available information. Our results indicate a positive and significant relation between stock price changes and high volume trades. In line with existing literature, we show there are both temporary and partially permanent on stock prices after high volume trades. Our study also indicates the existence of asymmetry between purchases and sales.

Keywords: Returns, Liquidity, Intra-Day Data

How to cite this paper: Carvalhal, A., Martins, C., & Figueiredo, O. (2013). High volume trades and stock price changes in Brazil. Corporate Ownership & Control, 11(1), 92-101. http://dx.doi.org/10.22495/cocv11i1art8