PT  - JOURNAL ARTICLE
AU  - Ki C Han
AU  - Suk Hun Lee
AU  - David Y Suk
TI  - Changes in Price and Trading Volume: <em>Bull vs. Bear Markets</em>
AID  - 10.3905/JOT.2009.4.4.041
DP  - 2009 Sep 30
TA  - The Journal of Trading
PG  - 41--49
VI  - 4
IP  - 4
4099  - https://pm-research.com/content/4/4/41.short
4100  - https://pm-research.com/content/4/4/41.full
AB  - In this study, we investigate the changes in stock price and trading volume simultaneously in both bull and bear markets. The purpose is to demonstrate how loss aversion is reflected on the changes in trading volume and price. We find that stock returns are lower and standard deviations of return are higher during the bear market period, indicating that the bear market provides a less desirable environment for investors. We also find that trading volume is lower during the bear market period for small-cap stocks, but there is no such evidence for large-cap stocks. This suggests that the equity market is not equally affected by the slow growth in economy. Most importantly, the trading volume response to a given price change is significantly lower during the bear market for small-cap stocks, but there is no such evidence for large-cap stocks. All these findings are consistent with the hypothesis of loss aversion.TOPICS: Statistical methods, financial crises and financial market history, volatility measures