Volume-Price Change Relations and the Costly Short Sales Hypothesis: Some Empirical Tests

AbstractJennings, Starks, and Fellingham (1981) and Karpoff (1987, 1988) have argued that a positive correlation between trading volume and price change in the stock market arises because selling short involves higher costs than does investing long. However, utilizing data for the Toronto Stock Exchange (TSE) 300 Composite Index and the spot contract written on the Index, the present study finds that the positive relation between volume and price change per se persists irrespective of whether the costs of assuming long and short positions are the same.RésuméJennings, Starks et Fellingham (1981)et Karpoff (1987,1988) ont soutenu qu'une corrélation positive entre le volume de commerce et le changement de prix à la bourse se produit parce que “selling short” coûte davantage que “investing long”. Cependant, en utilisant les données de la bourse de Toronto (TSE) 300 Composite Index et le contrat au comptant écrit sur le TSE 300 Index, notre étude constate que la corrélation positive entre volume de commerce et changement de prix per se se maintien malgré le fait que les coûts impliqués par une position, quelle soit longue ou courte, soil les mêmes.

Volume-Price Change Relations and the Costly Short Sales Hypothesis: Some Empirical Tests Journal Articles