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

Krishnamurti, Chandrasekhar and Tian, Gary Gang and Xu, Min and Li, Guangchuan (2013) No news is not good news: evidence from the intraday return volatility-volume relationship in Shanghai Stock Exchange. Journal of the Asia Pacific Economy, 18 (1). pp. 149-167. ISSN 1354-7860

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.


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Item Type: Article (Commonwealth Reporting Category C)
Refereed: Yes
Item Status: Live Archive
Additional Information: © 2013 Copyright Taylor and Francis Group, LLC. Permanent restricted access to published version due to publisher copyright policy.
Faculty / Department / School: Historic - Faculty of Business and Law - School of Accounting, Economics and Finance
Date Deposited: 02 Mar 2014 23:44
Last Modified: 16 Jul 2014 04:40
Uncontrolled Keywords: MDH; trading volume; return volatility; asymmetric effect; EGARCH-GED; Chinese stock market
Fields of Research : 17 Psychology and Cognitive Sciences > 1702 Cognitive Sciences > 170202 Decision Making
15 Commerce, Management, Tourism and Services > 1502 Banking, Finance and Investment > 150205 Investment and Risk Management
15 Commerce, Management, Tourism and Services > 1502 Banking, Finance and Investment > 150202 Financial Econometrics
Socio-Economic Objective: E Expanding Knowledge > 97 Expanding Knowledge > 970115 Expanding Knowledge in Commerce, Management, Tourism and Services
Identification Number or DOI: 10.1080/13547860.2012.742709
URI: http://eprints.usq.edu.au/id/eprint/24798

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