The Unusual Trading Volume and Earnings Surprises in China’s Market

Terence Tai Leung Chong and Yueer Wu

MPRA Paper from University Library of Munich, Germany

Abstract: This study examines the empirical relationship between unusual trading volume and earnings surprises in China's A-share market. We provide evidence that an unusually low trading volume contains negative information about firm fundamentals. Moreover, unusual trading volumes could predict abnormal returns close to the earnings announcement date. The degree of and changes in the divergence of opinion could explain this result. Our study provides an insight into China's market, where short sales are strictly forbidden. We report a strong relationship that is quite different from that described in most studies on the United States market. The differences in the findings are likely due to differences in the nature of the market, which is consistent with Miller (1977).

Keywords: Unusual trading volume; earnings surprises; divergence of opinion; stock return; China's market (search for similar items in EconPapers)
JEL-codes: G1 G12 G14 (search for similar items in EconPapers)
Date: 2018-02-05
New Economics Papers: this item is included in nep-tra
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Related works:
Journal Article: The Unusual Trading Volume and Earnings Surprises in China’s Market (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:92162

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