Investor participation and the volatility-volume relation: Evidence from an emerging market

Jiangze Bian, Kalok Chan and Wai-Ming Fong

Emerging Markets Review, 2020, vol. 45, issue C

Abstract: Using a unique dataset from the Chinese stock market that keeps track of the daily number of shareholders, we find that the ownership breadth (proxied by the number of shareholders) is negatively related to stock price volatility. However, consistent with the previous literature on volatility-volume relation, we find that the stock price volatility remains positively related to number of traders participating in the market. We also find that the relations of both the daily order imbalance and the daily depth imbalance with the number of shareholders (traders) are negative (positive). Our results suggest that a higher number of shareholders tend to supply liquidity and reduce volatility, while a higher number of traders tend to compete for liquidity and increase volatility.

Keywords: Ownership breadth; Volatility-volume relation (search for similar items in EconPapers)
JEL-codes: G10 G12 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:45:y:2020:i:c:s156601411930264x

DOI: 10.1016/j.ememar.2020.100741

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