Momentum and Reversals in Equity‐Index Returns During Periods of Abnormal Turnover and Return Dispersion
发现当后一周换手率异常高（低）时，连续周收益呈现显著动量（反转），且股指收益自相关随个股收益离散度增加而上升，有助于理解价格形成机制。
ABSTRACT We document new patterns in the dynamics between stock returns and trading volume. Specifically, we find substantial momentum (reversals) in consecutive weekly returns when the latter week has unexpectedly high (low) turnover. This pattern is evident in equity indices, index futures, and individual stocks. Similarly, we also find that the autocorrelation in equity‐index returns is increasing with the unexpected dispersion across the latter week's firm‐level returns. Weeks with extreme turnover and dispersion shocks (both high and low) tend to have more macroeconomic news releases. Our findings bear on understanding price formation and the economic interpretation of turnover and dispersion shocks.