FIN-02-001 |
NYU Stern School of Business |
October 2002
Olesya V. Grishchenko, Lubomir P. Litov and Jianping Mei
ABSTRACT
We apply the theoretical framework of Llorente, Michaely, Saar, and Wang
(2002) to analyze the relation between daily volume and first-order return autocorrelation
for individual stocks in emerging markets. We find strong evidence of return continuation
following high volume days, suggesting the presence of private information trading for
many emerging market stocks. We discover that private information trading is especially
strong around major corporate event dates. In addition, we find stocks that provide better
investor protection and information disclosure exhibit less private information trading.
These results suggest return autocorrelation and trading volume carry useful information
about corporate governance in emerging market.
Olesya V. Grishchenko
Institution: Stern School of Business, New York University, 44th West 4th Street, New York, NY 10012
Email: ogrishch@stern.nyu.edu
Homepage: http://www.stern.nyu.edu/~ogrishch
Lubomir P. Litov
Institution: Stern School of Business, New York University, 44th West 4th Street, New York, NY 10012
Telephone: (212) 998-0883
Fax: (212) 995-4218
Email: llitov@stern.nyu.edu
Homepage: http://www.stern.nyu.edu/~llitov
Jianping Mei
Institution: Stern School of Business, New York University, 44th West 4th Street, New York, NY 10012
Telephone: (212) 998-0354
Fax: (212) 995-4221
Email: jmei@stern.nyu.edu
Homepage: http://www.stern.nyu.edu/~jmei
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