TY  - JOUR
AU  - Griffin,John M.
AU  - Nardari,Federico
AU  - Stulz,Rene M.
TI  - Stock Market Trading and Market Conditions
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 10719
PY  - 2004
Y2  - September 2004
UR  - http://www.nber.org/papers/w10719
L1  - http://www.nber.org/papers/w10719.pdf
N1  - Author contact info:
John Griffin
University of Texas at Austin
Tel: 203/436-0785
E-Mail: john.griffin@mail.utexas.edu

Rene M. Stulz
The Ohio State University
Fisher College of Business
806A Fisher Hall
Columbus, OH 43210-1144
Tel: 614/292-1970
Fax: 614/292-2359
E-Mail: stulz_1@cob.osu.edu
AB  - 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 for turnover, and differing sample periods, and are present at both the weekly and daily frequency. However, the magnitude of this relation varies widely across markets. Several competing explanations are examined by linking cross-country variables to the magnitude of the relation. The relation between returns and turnover is stronger in countries with restrictions on short sales and where stocks are highly cross-correlated; it is also stronger among individual investors than among foreign or institutional investors. In developed economies, turnover follows past returns more strongly in the 1980s than in the 1990s. The evidence is consistent with models of costly stock market participation in which investors infer that their participation is more advantageous following higher stock returns.
ER  -