Please use this identifier to cite or link to this item: https://doi.org/10.1016/j.pacfin.2004.04.002
Title: Extreme volumes and expected stock returns: Evidence from China's stock market
Authors: Yun Wang, C. 
Sang Cheng, N. 
Keywords: China's stock market
Extreme volumes
Security characteristics
Stock returns
Issue Date: 2004
Source: Yun Wang, C.,Sang Cheng, N. (2004). Extreme volumes and expected stock returns: Evidence from China's stock market. Pacific Basin Finance Journal 12 (5) : 577-597. ScholarBank@NUS Repository. https://doi.org/10.1016/j.pacfin.2004.04.002
Abstract: 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 results show that stocks experiencing extremely high (low) volumes are associated with low (high) subsequent returns. Moreover, this extreme volume-return relation significantly co-varies with security characteristics like past stock performance, firm size, and book-to-market values. In particular, stocks with extreme volumes are related to poorer performance if they are past winners, large firms, and glamour stocks than if they are past losers, small firms, and value stocks, respectively. These results are robust to both daily and weekly samples as well as stock exchange sub-samples. Although the liquidity premium hypothesis of Amihud and Mendelson [J. Financ. Econ. 17 (1986) 223] provides a partial explanation for the extreme volume-return relation, our results fit better the behavioral hypothesis of Baker and Stein [J. Financ. Mark. 7 (2004) 271]. © 2004 Elsevier B.V. All rights reserved.
Source Title: Pacific Basin Finance Journal
URI: http://scholarbank.nus.edu.sg/handle/10635/44486
ISSN: 0927538X
DOI: 10.1016/j.pacfin.2004.04.002
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