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

• Main Authors: WANG, Chang Yun, CHENG, Nam Sang
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2004
• Subjects: Accounting; Asian Studies; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/soa_research/626; http://dx.doi.org/10.1016/j.pacfin.2004.04.002
• Institution: Singapore Management University

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...