Price-Volume Relationship in the Brazilian Market, Stock Lending and Technical Analysis
| Autor | Antonio Zoratto Sanvicente |
| Cargo | EESP/FGV, São Paulo, SP, Brasil |
Rev. Bras. Finanças (Online), Rio de Janeiro, Vol. 13, No. 4, October 2015, pp. 630–649
ISSN 1679-0731, ISSN online 1984-5146
©2015 Sociedade Brasileira de Finanças, under a Creative Commons Attribution 3.0 license -
http://creativecommons.org/licenses/by/3.0
Price-Volume Relationship in the Brazilian
Market, Stock Lending and Technical
Analysis
(Relação entre Preço e Volume de Negócios, Empréstimo de Ações e
Análise Técnica)
Antônio Zoratto Sanvicente*
Abstract
The paper tests the relevance of contemporaneous trading volume information
for the pricing of shares of stock in the Brazilian market. As developed by
Karpoff (1987), the particular relationship results from positive covariance
between a stock’s market turnover and the absolute value of that stock’s price
change in the same period. In Technical Analysis, it is believed that a role exists
for trading information when predicting or at least explaining market price
changes. The results show tha t the predicted V-shaped relationship is significant,
so that the technical analysis argument is at least partially vindicated, and also
contradicts the efficient market hypothesis, since this hypothesis says that all
relevant information would already be reflected in current market prices. The
paper uses daily data for 47 individual stocks traded at the BM&FBovespa over
the period from January 04, 2010 to June 28, 2013, and tests the pr oposed
hypothesis using ordinary least squares and estimation of panel data with fixed
effects for both stock and day.
Keywords: market efficiency, technical analysis; price-volume relationship.
JEL codes: G11, G12, G14.
Submetido em 25 de junho de 2015. Reformulado em 15 de dezembro d e 2015.
Aceito em 17 de dezembro de 2015. Publicado on-line em 25 de janeiro de 2016. O artigo
foi avaliado segundo o processo de d uplo anonimato além de ser avaliado pelo editor.
Editor responsável: Márcio Laurini.
* EESP/FGV, São Paulo, SP, Brasil. E-mail: antonio.sanvicente@fgv.br
Price-Volume Relationship in the Brazilian Market, Stock Lending and Technical Analysis
Revista Brasileira de Finanças (Online), Rio de Janeiro, Vol. 13, N. 4, October 2015 631
Resumo
O trabalho testa a relevância de informações contemporâneas de volume de
negócios na formação de preços de ações no mercado brasileiro. Tal como
desenvolvida por Karpoff (1987), a relação específica resulta de covariância
positiva entre o giro dos negócios e o módulo da variação d o preço de uma ação
no mesmo período. Em Análise Técnica, acredita-se haver um papel a ser
desempenhado pela q uantidade negociada ao se predizer ou pelo menos explicar
variações de preço de mercado. Os resultados mostram que a rela ção prevista,
em forma de V, é significante, de modo que o argumento da análise técnica é ao
menos parcialmente validado, e também contradiz a hipótese de mercado
eficiente, pois esta diz que toda informação relevante já estaria refletida nos
preços correntes de mercado. O trabalho utiliza dados diários de 47 ações
individuais negociadas na BM&FBovespa cobrindo o período de 04 de janeiro
de 2010 a 28 de junho de 2013 e testa a hipótese proposta usando mínimos
quadrados ordinários e estimação com dados em painel, com efeitos fixos de
ação e dia.
Palavras-chave: eficiência de mercado; análise técnica; relação preço-volume de
negócios.
1. Introduction
According to Blume et al. (1994), technical analysts believe that
both price and volume data signal future price movements. Hence, the
examination of both price and volume data would be useful to improving
knowledge of return fundamentals. “If markets are efficient in the sense
that the current price impounds all information, then such activity
[technical analysis] is clearly pointless. But if the process by which prices
adjust to information is not immediate, then market statistics [such as
trading volume] may impound information that is not yet incorporated
into the current market price. In particular, volume may be informative
about the process of security returns.” (BLUME et al., 1994, p. 153)
The present paper examines the relationship between price and
volume series in the Brazilian stock market, by first testing the so-called
“V-shaped relationship” theoretically developed by Karpoff (1987) and
identified in several empirical papers for the U.S. market.
1
That
relationship is expressed by the existence of a positive covariance
1
Karpo ff (1987) surveyed the existing empirical literature available at the time for the
U.S. equity and commodity, currency and T-bill futures markets. A total of 18 papers had
been published by then, and 17 of the papers surveyed had found evidence for the
correlation between trading volume and the absolute value of price changes, as examined
in this paper. Additional, more recent results are described in section II of the paper.
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