No news is not good news: evidence from the intraday return volatility-volume relationship in Shanghai Stock Exchange

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Krishnamurti, Chandrasekhar, Tian, Gary, Guo, Mingyuan and Ellis, Craig. 2008. "No news is not good news: evidence from the intraday return volatility-volume relationship in Shanghai Stock Exchange." Time Varying Correlation and Volatility Symposium (2008). Sydney, Australia 28 Nov 2008 Sydney, Australia.
Paper/Presentation Title

No news is not good news: evidence from the intraday return volatility-volume relationship in Shanghai Stock Exchange

Presentation TypePresentation
AuthorsKrishnamurti, Chandrasekhar (Author), Tian, Gary (Author), Guo, Mingyuan (Author) and Ellis, Craig (Author)
Year2008
Place of PublicationSydney, Australia
Web Address (URL) of Paperhttp://www.banking.unsw.edu.au/FinanceSymposium
Conference/EventTime Varying Correlation and Volatility Symposium (2008)
Event Details
Time Varying Correlation and Volatility Symposium (2008)
Event Date
28 Nov 2008
Event Location
Sydney, Australia
Abstract

We find that the asymmetric volatility phenomenon is reversed in the Shanghai Stock Exchange during bull markets. That is, volatility increases more with good news than with bad news. This evidence is inconsistent with the US markets (Wu 2001, and Bae, Kim and Nelson 2007). Further examination of this phenomenon reveals that the positive impact of good news on volatility is driven by return chasing behaviour of investors in large stocks during bull markets. We also find that volatility increases after stock price declines in bear markets especially for small stocks . This increase in volatility of small stocks after bad news in bear markets is partly driven by liquidity. After controlling for liquidity shifts, there are no significant patterns in the volatility of small stocks during bear markets. We posit that institutional and behavioural factors are the major driving forces of observed volatility patterns in Chinese stock market.

Keywordsbull markets; China; volatility
ANZSRC Field of Research 2020350208. Investment and risk management
380110. International economics
359999. Other commerce, management, tourism and services not elsewhere classified
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Byline AffiliationsAuckland University of Technology, New Zealand
University of Wollongong
University of Western Sydney
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