From their paper:
Their key finding:
"There is on average a positive relation between past returns and turnover in our sample of countries. Using a trivariate Vector Autogression (VAR) of market return, market volatility, and turnover with weekly data from 1993 through 2003, we find that a positive shock to returns leads to a significant increase in volume after ten weeks in 24 countries and to a significant decrease in no country. The economic magnitude of the return-turnover relation is large; a one standard deviation shock to returnsleads to a 0.46 standard deviation increase in turnover on average after ten weeks."In other words, people trade more in up markets than in down markets. While this fact is well known to any stock broker, it is interesting to see that the same realtion holds across most countries and that it appears that it is more concentrated for individual investors and in countries with less developed markets.
Again from the paper:
"The relation [between volume and returns] is more statistically and economically significant in countries with restrictions on short sales, where corruption is higher, and where the allocative efficiency of the stock market is weaker. The return-volume relation is also stronger for individual investors than for institutional or foreign investors."
John M. Griffin, Federico Nardari, and René M. Stulz. Do investors trade more when stocks have performed well? Evidence from 46 countries, Working Paper, downloaded 7/27/2005