No news is not good news: evidence from the intraday return volatility-volume relationship in Shanghai Stock Exchange
Article
Article Title | No news is not good news: evidence from the intraday return volatility-volume relationship in Shanghai Stock Exchange |
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ERA Journal ID | 18447 |
Article Category | Article |
Authors | Krishnamurti, Chandrasekhar (Author), Tian, Gary Gang (Author), Xu, Min (Author) and Li, Guangchuan (Author) |
Journal Title | Journal of the Asia Pacific Economy |
Journal Citation | 18 (1), pp. 149-167 |
Number of Pages | 19 |
Year | 2013 |
Place of Publication | Abingdon, Oxon. United Kingdom |
ISSN | 1354-7860 |
1469-9648 | |
Digital Object Identifier (DOI) | https://doi.org/10.1080/13547860.2012.742709 |
Web Address (URL) | http://www.tandfonline.com/doi/abs/10.1080/13547860.2012.742709 |
Abstract | Through this research 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. 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. |
Keywords | MDH; trading volume; return volatility; asymmetric effect; EGARCH-GED; Chinese stock market |
ANZSRC Field of Research 2020 | 520402. Decision making |
350208. Investment and risk management | |
350203. Financial econometrics | |
Public Notes | Files associated with this item cannot be displayed due to copyright restrictions. |
Byline Affiliations | School of Accounting, Economics and Finance |
University of Wollongong | |
China Construction Bank, China | |
China Securities Finance Corporation, China | |
Institution of Origin | University of Southern Queensland |
https://research.usq.edu.au/item/q2477/no-news-is-not-good-news-evidence-from-the-intraday-return-volatility-volume-relationship-in-shanghai-stock-exchange
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