Expected return, volume, and mispricing: Evidence from China

Xin Chen, Daniel Chai and Jin Zhang

Pacific-Basin Finance Journal, 2024, vol. 85, issue C

Abstract: We investigate the relation between trading volume and future stock returns across stocks with different levels of mispricing in the Chinese equity market. We first show a negative relation between trading volume and future stock returns. When replicating the main results reported in Han, Huang, Huang and Zhou (2022), we find no evidence of the volume amplification effect in Chinese equities. There is no strong evidence that mispricing plays a role in explaining the volume-return relation. Overall, the results from China suggest that the mechanism in the volume-return relation is somewhat different when compared to those documented in Han et al. (2022).

Keywords: Trading volume; Mispricing; Stock returns; Chinese market (search for similar items in EconPapers)
JEL-codes: G10 G12 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:85:y:2024:i:c:s0927538x24001410

DOI: 10.1016/j.pacfin.2024.102390

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