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

Terence Tai Leung Chong, Yueer Wu and Jue Su
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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

JRFM, 2020, vol. 13, issue 10, 1-17

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.

Keywords: unusual trading volume; earnings surprises; divergence of opinion; stock return; China’s market (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2020
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Working Paper: The Unusual Trading Volume and Earnings Surprises in China’s Market (2018)
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