Volume components and return predictability in abnormal trading events

Abstract

This paper examines return predictability of three types of trading volumes include total volumes, buy volumes and sell volumes in Thailand's stock market between 2012 to 2018. To measure predictability ability, we sort securities into group base on the level of trading volumes and type of volumes. We test and confirm that buy volumes and sell volumes can predict return one day after the abnormal trading event. Abnormal high buy volumes can predict positive next day return of that security while abnormal high sell volumes can predict negative next day return. In addition, we test and found that positive return from abnormally high buy volumes is the result of good news signaling. However, we cannot find significant evidence that abnormal high trading volumes from each type can catch investor attention.