Volume Shocks around Announcements in the Chinese Stock Market: An Ex-Post Earnings-Information-Based Study of Speculative Behavior

Volume Shocks around Announcements in the Chinese Stock Market: An Ex-Post Earnings-Information-Based Study of Speculative Behavior

The Second Board Market is typical stock market for high tech companies in China. This paper discusses the relationship between trading volume and price changes in the case of high-tech listed companies in the Chinese Second-Board Stock Market. By using the basic concepts proposed by Kim and Verrecc...

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Bibliographic Details
Main Authors: Xiangdong Chen, Fei Wang, Wei Wang, Valerie Hunstock
Format: Article
Language:English
Published: MDPI AG 2017-09-01
Series:Information
Subjects:
Second-Board Stock Market
speculative behavior
trading volume
ex-post information
Online Access:https://www.mdpi.com/2078-2489/8/3/112
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spelling doaj-0b63d06a6dd24032b22cff9da7444a202020-11-24T21:54:11ZengMDPI AGInformation2078-24892017-09-018311210.3390/info8030112info8030112Volume Shocks around Announcements in the Chinese Stock Market: An Ex-Post Earnings-Information-Based Study of Speculative BehaviorXiangdong Chen0Fei Wang1Wei Wang2Valerie Hunstock3School of Economics and Management, Beihang University, Beijing 100083, ChinaSchool of Economics and Management, Beihang University, Beijing 100083, ChinaInstitute of Computing Technology Chinese Academy of Sciences, Beijing 100190, ChinaSchool of International Trade and Economics, University of International Business and Economics, Beijing 100029, ChinaThe Second Board Market is typical stock market for high tech companies in China. This paper discusses the relationship between trading volume and price changes in the case of high-tech listed companies in the Chinese Second-Board Stock Market. By using the basic concepts proposed by Kim and Verrecchia, and Kandel and Pearson, and contrasting them with ex-post information from earnings releases, the paper provides findings on the speculative behavior of informed traders with a volume shock premium. The paper suggests that these methods may be further applied to investigating investors’ behavior in speculation, especially for the high-tech-company-based Second-Board Stock Market during announcement periods.https://www.mdpi.com/2078-2489/8/3/112Second-Board Stock Marketspeculative behaviortrading volumeex-post information
collection DOAJ
language English
format Article
sources DOAJ
author Xiangdong Chen
Fei Wang
Wei Wang
Valerie Hunstock
spellingShingle Xiangdong Chen
Fei Wang
Wei Wang
Valerie Hunstock
Volume Shocks around Announcements in the Chinese Stock Market: An Ex-Post Earnings-Information-Based Study of Speculative Behavior
Information
Second-Board Stock Market
speculative behavior
trading volume
ex-post information
author_facet Xiangdong Chen
Fei Wang
Wei Wang
Valerie Hunstock
author_sort Xiangdong Chen
title Volume Shocks around Announcements in the Chinese Stock Market: An Ex-Post Earnings-Information-Based Study of Speculative Behavior
title_short Volume Shocks around Announcements in the Chinese Stock Market: An Ex-Post Earnings-Information-Based Study of Speculative Behavior
title_full Volume Shocks around Announcements in the Chinese Stock Market: An Ex-Post Earnings-Information-Based Study of Speculative Behavior
title_fullStr Volume Shocks around Announcements in the Chinese Stock Market: An Ex-Post Earnings-Information-Based Study of Speculative Behavior
title_full_unstemmed Volume Shocks around Announcements in the Chinese Stock Market: An Ex-Post Earnings-Information-Based Study of Speculative Behavior
title_sort volume shocks around announcements in the chinese stock market: an ex-post earnings-information-based study of speculative behavior
publisher MDPI AG
series Information
issn 2078-2489
publishDate 2017-09-01
description The Second Board Market is typical stock market for high tech companies in China. This paper discusses the relationship between trading volume and price changes in the case of high-tech listed companies in the Chinese Second-Board Stock Market. By using the basic concepts proposed by Kim and Verrecchia, and Kandel and Pearson, and contrasting them with ex-post information from earnings releases, the paper provides findings on the speculative behavior of informed traders with a volume shock premium. The paper suggests that these methods may be further applied to investigating investors’ behavior in speculation, especially for the high-tech-company-based Second-Board Stock Market during announcement periods.
topic Second-Board Stock Market
speculative behavior
trading volume
ex-post information
url https://www.mdpi.com/2078-2489/8/3/112
work_keys_str_mv AT xiangdongchen volumeshocksaroundannouncementsinthechinesestockmarketanexpostearningsinformationbasedstudyofspeculativebehavior
AT feiwang volumeshocksaroundannouncementsinthechinesestockmarketanexpostearningsinformationbasedstudyofspeculativebehavior
AT weiwang volumeshocksaroundannouncementsinthechinesestockmarketanexpostearningsinformationbasedstudyofspeculativebehavior
AT valeriehunstock volumeshocksaroundannouncementsinthechinesestockmarketanexpostearningsinformationbasedstudyofspeculativebehavior
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