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Buy and sell dynamics following high market returns: Evidence from China

Udomsak Wongchoti (), Fei Wu and Martin Young

International Review of Financial Analysis, 2009, vol. 18, issue 1-2, 12-20

Abstract: We provide a closer look at the trading dynamics which may give rise to the positive relationship between market trading volume and its lagged returns. Chinese market turnover increases sharply with past day returns. A comprehensive dataset which facilitates the tracing of trading activities among different groups of investors reveals that when previous market returns are high, investors with larger (smaller) average trade size increase their buy (sell) volume. Our findings indicate an important role of differing responses to market information among different classes of investors (e.g. different priors) in explaining this recently documented phenomenon.

Keywords: Return; volume; relation; Trading; dynamics (search for similar items in EconPapers)
Date: 2009
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Handle: RePEc:eee:finana:v:18:y:2009:i:1-2:p:12-20