The Stock Return-volume Relation and Policy Effects: The Case of the Chinese Energy Sector

Xiangmei Fan, Yanrui Wu and Nicolaas Groenewold
Additional contact information
Xiangmei Fan: Business School, Hunan Normal University, PR China
Nicolaas Groenewold: UWA Business School, The University of Western Australia

No 03-15, Economics Discussion / Working Papers from The University of Western Australia, Department of Economics

Abstract: This paper examines the relation between trading volume and stock returns for two Chinese A-share markets and ten individual stocks in the energy sector. We also investigate the effects of exogenous government policies on the relation between trading volume and stock return. Using daily data covering the period from January 1, 1997 to December 31, 2002, we find the relationship between trading volume and return is asymmetrically V-shaped with the response of trading volume to a rising return being stronger than that to a falling return. Granger causality tests demonstrate stronger evidence of return causing volume; volume has only a weak effect on future returns but a strong and predictable effect on absolute returns. We investigate the effects of changes to general stock market regulations as well as energy-specific policy changes on the return-volume relationship. We find that the sector-specific changes generally change the intercept of the return-volume relationship but not its slope. Changes in general market regulations affect both intercept and slope coefficients, suggesting that government policies have a significant impact on overall stock prices as well as energy returns although the nature of the effect depends on whether the policy shock is sector-specific or general to the market as a whole.

Pages: 41 pages
Date: 2003
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://ecompapers.biz.uwa.edu.au/paper/PDF%20of%2 ... Fan_Groenwold_Wu.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:uwa:wpaper:03-15

Access Statistics for this paper

More papers in Economics Discussion / Working Papers from The University of Western Australia, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Sam Tang ().