Download or read book Essays on Momentum, Autoregressive Returns, and Conditional Volatility: Evidence from the Saudi Stock Market written by Abdullah Alsubaie and published by . This book was released on 2007 with total page 143 pages. Available in PDF, EPUB and Kindle. Book excerpt: The second essay examines the relationship between abnormal changes in trading volume of both firms and portfolio levels, and the short-term price autoregressive behavior in the SSM. The objective is to investigate the informational role that trading volume plays in predicting the direction of short-term returns. I evaluate whether the abnormal change in lagged, contemporaneous, and lead turnover affects serial correlation in returns. Consistent with the prediction of Campbell, Grossman, and Wang (1993) model, the result of this essay indicates that lagged abnormal change in trading volume lead to reversal in consecutive weekly returns. Contemporaneous and lead changes in volume provide mixing results.