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

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

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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.


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Item Type: Conference or Workshop Item (Commonwealth Reporting Category E) (Speech)
Refereed: No
Item Status: Live Archive
Additional Information: Guanchan Li not on symposium programme? Ellis Craig may be on paper?
Faculty / Department / School: Historic - Faculty of Business - School of Accounting, Economics and Finance
Date Deposited: 11 Sep 2016 23:53
Last Modified: 28 Sep 2016 02:45
Uncontrolled Keywords: bull markets; China; volatility
Fields of Research : 15 Commerce, Management, Tourism and Services > 1502 Banking, Finance and Investment > 150205 Investment and Risk Management
14 Economics > 1402 Applied Economics > 140210 International Economics and International Finance
15 Commerce, Management, Tourism and Services > 1503 Business and Management > 150399 Business and Management not elsewhere classified
Socio-Economic Objective: B Economic Development > 91 Economic Framework > 9102 Microeconomics > 910206 Market-Based Mechanisms
URI: http://eprints.usq.edu.au/id/eprint/9152

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