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The Relation Between Price Changes and Trading Volume: A Survey
Abstract
This paper reviews previous and current research on the relation between price changes and trading volume in financial markets, and makes four contributions. First, two empirical relations are established: volume is positively related to the magnitude of the price change and, in equity markets, to the price change per se. Second, previous theoretical research on the price-volume relation is summarized and critiqued, and major insights are emphasized. Third, a simple model of the price-volume relation is proposed that is consistent with several seemingly unrelated or contradictory observations. And fourth, several directions for future research are identified.
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Citations
Cited by
Grinblatt, M., & Keloharju, M. (2001) · The Journal of Finance · doi:10.1111/0022-1082.00338 · Cited by 1,298
Risk Everywhere: Modeling and Managing Volatility
Bollerslev, T., Hood, B., Huss, J., & Pedersen, L. H. (2018) · The Review of Financial Studies · doi:10.1093/rfs/hhy041 · Cited by 359
Trader types and volatility of emission allowance prices. Evidence from EU ETS Phase I
Balietti, A. C. (2016) · Energy Policy · doi:10.1016/j.enpol.2016.09.006 · Cited by 55
Income inequality, poverty, and the liquidity of stock markets
Blau, B. M. (2018) · Journal of Development Economics · doi:10.1016/j.jdeveco.2017.10.006 · Cited by 49
Chung, C. Y., Lee, J., & Park, J. (2014) · Asia-Pacific Journal of Financial Studies · doi:10.1111/ajfs.12043 · Cited by 19
Metadata
- Authors
- Karpoff, J. M.
- Venue
- The Journal of Financial and Quantitative Analysis
- Publisher
- JSTOR
- Published
- 1987-03
- Volume
- 22
- Issue
- 1
- Pages
- 109
- ISSN
- 0022-1090 (ISSN-L)
- OpenAlex
- W2153146814
- Cited by
- 2,377
- References
- 0
- FWCI
- 30.54
- Type
- journal article
- Language
- en
- Open access
- closed
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- CoChat. (2026). Citation check: The Relation Between Price Changes and Trading Volume: A Survey. https://app.cochat.ai/papers/10.2307/2330874
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- Karpoff, J. M. (1987). The Relation Between Price Changes and Trading Volume: A Survey. The Journal of Financial and Quantitative Analysis. https://doi.org/10.2307/2330874
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
