Do Investors Trade More When Stocks Have Performed Well? Evidence from 46 Countries
研究了46个市场中市场整体交易活动与收益之间的动态关系，发现许多股市中换手率与过去收益呈正相关，且这种关系在腐败严重、卖空受限、波动性高的国家更为显著。
This article investigates the dynamic relation between market-wide trading activity and returns in 46 markets. Many stock markets exhibit a strong positive relation between turnover and past returns. These findings stand up in the face of various controls for volatility, alternative definitions of turnover, differing sample periods, and are present at both the weekly and daily frequency. The relation is more statistically and economically significant in countries with high levels of corruption, with short-sale restrictions, and in which market volatility is high.