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The Unusual Trading Volume and Earnings Surprises in China’s Market

Author

Listed:
  • Terence Tai Leung Chong

    (Department of Economics, The Chinese University of Hong Kong, Shatin, Hong Kong, China)

  • Yueer Wu

    (Department of Economics, The Chinese University of Hong Kong, Shatin, Hong Kong, China)

  • Jue Su

    (Department of Economics, The Chinese University of Hong Kong, Shatin, Hong Kong, China)

Abstract
This study examines the empirical relationship between unusual trading volume and earnings surprises in China’s A-share market. We provide evidence that an unusually low trading volume can signify negative information about firm fundamentals. Moreover, unusual trading volumes could predict abnormal returns close to the earnings announcement date. The degree of, and changes in, divergence of opinion could explain this result. Our study provides an insight into China’s market, where short sales are strictly forbidden. We report a strong relationship that is quite different from that described in most studies on the United States market.

Suggested Citation

  • Terence Tai Leung Chong & Yueer Wu & Jue Su, 2020. "The Unusual Trading Volume and Earnings Surprises in China’s Market," JRFM, MDPI, vol. 13(10), pages 1-17, October.
    • Handle: RePEc:gam:jjrfmx:v:13:y:2020:i:10:p:244-:d:428944
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    References listed on IDEAS

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    More about this item

    Keywords

    unusual trading volume; earnings surprises; divergence of opinion; stock return; China’s market;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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