Investors have always observed the trading volume carefully which presumably conveys valuable information about future price movements (Llorente, Michaely, Saar, and Wang, 2002). The basic logic to use the trading volume in studying stock prices is that the trading activity has explanatory power in addition to past returns, and price changes accompanied by high volume tend to be reversed (Ali, 1997). Hence, trading volume has been used as a very important element of technical analysis. Often, investors keep track of this important technical indicator by following the market and stock volume data that are frequently published in the financial press in order to obtain some additional indication of a potential move. If the market is not fully efficient, there are possibilities of investors making abnormal profits by observing the volume traded to find and buy good value stocks at low prices and then wait for their prices to go up.