Extreme Volume and Expected Stock Returns: Evidence from China's Stock Market

• المؤلفون الرئيسيون: WANG, Chang Yun, CHENG, Nam Sang
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2004
• الموضوعات: Accounting; Asian Studies; Portfolio and Security Analysis
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soa_research/626; http://dx.doi.org/10.1016/j.pacfin.2004.04.002

We examine the relation between extreme trading volumes and expected returns for individual stocks traded on the Shanghai Stock Exchange and the Shenzhen Stock Exchange over the July 1994-December 2000 interval. Contrasted with the evidence obtained from the US data [J. Finance 56 (2001) 877], our r...