Besides return event studies, there are also event studies investigating whether the trading volumes of assets display statistically significant anomalies. These volume event studies apply the general principles of the event study methodology to time series of trading volumes. One major application of volume event studies is the investigation of insider trading preceding M&A announcements. In the US, volume event studies are increasingly used as evidence in security fraw litigation cases.
Measures of Abnormal Trading
The main difference of abnormal volume event study from abnormal return event study is that instead of returns, the log-transformed relative volume per firm is used (Campell and Wasley, 1996), namely