Stock return volatility and trading volume: evidence from the Chinese stock market

Article

Wang, P., Wang, P. and Liu, A. 2005. Stock return volatility and trading volume: evidence from the Chinese stock market. Journal of Chinese Economic and Business Studies. 3 (1), pp. 39-54. https://doi.org/10.1080/14765280500040518
TypeArticle
TitleStock return volatility and trading volume: evidence from the Chinese stock market
AuthorsWang, P., Wang, P. and Liu, A.
Abstract

This study investigates the dynamic relationship between stock return volatility and trading volume for individual stocks listed on the Chinese stock market as well as market portfolios of these stocks. We found that the inclusion of trading volume, which is used as a proxy of information arrival, in the GARCH specification reduces the persistence of the conditional variance dramatically, and the volume effect is positive and statistically significant in all the cases for individual stocks. Consistent with our analysis of the institutional and ownership structure of listed Chinese companies, trading volume is found to play a role of proxies of information arrivals for the two B share portfolios, but not for the two A share portfolios. Our conclusion is that the information-based effect helps in explaining the GARCH effect to a large extent. Nevertheless, GARCH does not completely vanish as a result of this inclusion.

PublisherRoutledge
JournalJournal of Chinese Economic and Business Studies
ISSN1476-5284
Publication dates
Print2005
Publication process dates
Deposited16 Feb 2009
Output statusPublished
Digital Object Identifier (DOI)https://doi.org/10.1080/14765280500040518
LanguageEnglish
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