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Contrarian and Momentum Profits during Periods of High Trading Volume preceded by Stock Prices Shocks

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  • Razvan Stefanescu

    (Dunarea de Jos University of Galati, Romania)

  • Ramona Dumitriu

    (Dunarea de Jos University of Galati, Romania)

Abstract

This paper approaches the opportunities for contrarian and momentum profits during the periods of high trading volume preceded by stock prices shocks. We investigate these aspects for ten stocks from New York Stock Exchange. We found that more than three quarters of the periods of high trading volume were preceded by shocks which occurred less than six working days before. The values of the average excess returns for these periods suggest that opportunities for momentum profits prevailed over those for contrarian profits.

Suggested Citation

  • Razvan Stefanescu & Ramona Dumitriu, 2016. "Contrarian and Momentum Profits during Periods of High Trading Volume preceded by Stock Prices Shocks," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 378-384.
    • Handle: RePEc:ddj:fserec:y:2016:p:378-384
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    1. Stefanescu, Razvan & Dumitriu, Ramona, 2016. "Particularitǎţi ale evoluţiei variabilelor financiare [Some particularities of the financial variables evolution]," MPRA Paper 73481, University Library of Munich, Germany, revised 02 Sep 2016.

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