Information of Unusual Trading Volume

Yugang Yin and Yahui Liu

Emerging Markets Finance and Trade, 2018, vol. 54, issue 11, 2409-2432

Abstract: This article investigates the information content of stock unusual trading volume from the aspect of firm fundamental information revealed by both earnings formal announcements and preannouncements. By using the stock market data of China from the second quarter of 2003 to the end of 2015, this article provides evidence that, in general, stocks that experience unusually low trading volume over the week prior to earnings announcements have more unfavorable earnings surprises. However, because of the feature of mandatory pre-disclosure policy in China, this article further finds that the relation between unusually low trading volume and unfavorable earnings surprises only exists in the stocks without earnings preannouncements, because fundamental information is incorporated in the stock prices timely around preannouncements date. In addition, unusually low trading volume signals negative fundamental changes revealed by preannouncements, and this effect is more pronounced among stocks with higher short-selling constraints, but unusually high trading volume is value-irrelevant.

Date: 2018
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://hdl.handle.net/10.1080/1540496X.2017.1399355 (text/html)
Access to full text is restricted to subscribers.

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:mes:emfitr:v:54:y:2018:i:11:p:2409-2432

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/MREE20

DOI: 10.1080/1540496X.2017.1399355

Access Statistics for this article

More articles in Emerging Markets Finance and Trade from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().