Stock Price Paths, and Trading Volume
"Examine the relation between the
trading volume of a stock, expressed as a percentage of shares
outstanding, and the past stock price trading range. Volume is
strikingly higher, in both economical and statistical terms, when the
current price is above (below) the previous fifty-two week high (low).
Results are robust to a wide range of controls, including returns and
news events. An event study shows that volume spikes in the week when
price leaves the prior trading range, then gradually returns to normal
levels. The results suggest that behavioral factors affect investors'
trading decisions in equity markets."