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Hedging or Speculation: What Can We Learn from the Volume-Return Relationship?

Lin Huang () and Dayong Zhang ()

Emerging Markets Finance and Trade, 2015, vol. 51, issue 6, 1117-1128

Abstract: We investigate the volume-return relationship using data from the Chinese stock market. Drawing on a recent theoretical model on the volume-return relationship, we test empirically whether investors in China are hedging oriented or motivated by speculation. A two-state Markov-switching model is used to augment the basic model. Allowing the underlying model to switch between two regimes reveals further information that investors’ motivation in the Chinese stock market is sensitive to the general market conditions.

Date: 2015
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DOI: 10.1080/1540496X.2015.1080501

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