Does trading volume contain information to predict stock returns? evidence from China's stock markets

Review of Quantitative Finance and Accounting

Volumn 14, Issue 4, 2000, Pages 341-360

  Lee, Cheng F ^a   Rui, Oliver M ^b  

^a RUTGERS UNIVERSITY   (United States)

^b HONG KONG POLYTECHNIC UNIVERSITY   (Hong Kong)

Author keywords

China's Stock Markets; Spillover; Trading volume

Indexed keywords

EID: 3242705938     PISSN: 0924865X     EISSN: 15737179     Source Type: Journal    
DOI: 10.1023/A:1008319826042     Document Type: Article

References (46)

1. Agmon, T." The Relations Among Equity Markets: A Study of Share Price Co-movement in the United States, United Kingdom, Germany and Japan." Journal of Finance 27, 839-855, (1972).
2. Andersen, T.G." Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility." Journal of Finance 51, 169-204, (1994).
3. Ariel, R.A." High Stock Returns Before Holidays: Existence and Evidence on Possible Causes." Journal of Finance 45, 1611-1626, (1990).
4. Bailey, W." Risk and Return on China's New Stock Markets: Some Preliminary Evidence." Pacific-Basin Finance Journal 2, 243-260, (1994).
5. Becker, K.G., J.E. Finnerty, and M. Gupia." The Intertemporal Relation Between the US and Japanese Stock Markets." Journal of Finance 45, 1297-1306, (1990).
6. Blume, L., D. Easley, and M. O'Hara." Market Statistics and Technical Analysis: The Role of Volume." Journal of Finance 49(1), 153-182, (1994).
7. Campbell, J.Y., S.J. Grossman, and J. Wang." Trading Volume and Serial Correlation in Stock Returns." Quarterly Journal of Economics 108, 905-939, (1993).
8. Chakravarty, S., A. Sarkar, and L.F. Wu, Information Asymmetry, Market Segmentation and Pricing of Cross-listed Shares; Theory and Evidence from Chinese A and B Shares, Working paper, Purdue University, 1998.
9. Chan, G.M., B.S. Lee, and O.M. Rui, A Study of Market Segmentation due to Foreign Ownership Restrictions in Chinese Stock Markets: A-Share Premia or B-Share Discounts?, Working paper, University of Houston, 1998.
10. Chui, C.W. and C.Y. Kwok." Cross-Autocorrelation Between A Shares and B Shares in the Chinese Stock Market." Journal of Financial Research 21, 333-353, (1998).
11. Chordia, T and B. Swaminathan." Trading Vvolume and Cross-Autocorrelations in Stock Returns." Journal of Finance forthcoming, (1999).
12. Clark, P.K." A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices." Econometrica 41, 135-55, (1973).
13. Copeland, T. E." A Model of Asset Trading Under the Assumption of Sequential Information Arrival." Journal of Finance 31, 1149-1168, (1976).
14. Copeland, M. and T. Copeland." Leads, Lags, and Trading in Global Markets." Financial Analysts Journal 1998, 70-80, (1998).
15. Crouch, R.L." The Volume of Transaction and Price Changes on the New York Stock Exchange." Financial Analysts Journal 26, 104-09, (1970).
16. Cumby, R., S. Figlewski, and J. Hasbrouck." Forecasting Volatility and Correlations with EGARCH Models." Journal of Derivatives Winter, 21-63, (1993).
17. Dickey, D.A. and W.A. Fuller." Distribution of the Estimators for Autoregressive Time Series with a Unit Root." Journal of American Statistical Association 74, 427-31, (1979).
18. Epps, T.W. and M.L. Epps." The Stochastic Dependence of Security Price Changes and Transaction Volume: Implications for the Mixture-of-Distributions Hypothesis." Econometrica 44, 305-21, (1976).
19. Engle, R.F." Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of UK Inflation." Econometrica 50, 987-1008, (1982).
20. Eun, C., S. Shim." International Transmission of Stock Market Movements." Journal of Financial and Quantitative Analysis 24, 241-56, (1989).
21. French, K." Stock Returns and the Weekend Effect." Journal of Financial Economics 8, 55-69, (1980).
22. Foster, F.D. and S. Viswanathan." Can Speculative Trading Explain the Volume-Volatility Relation?" Journal of Business and Economic Statistics, 13, 379-396, (1995).
23. Fuller, W., Introduction to Statistical Time Series, New York: Wiley, 1976.
24. Gallant, A.R., P.E. Rossi, and G. Tauchen." Stock Prices and Volume." Review of Financial Studies 5, 199-242, (1992).
25. Granger, C.W.J." Investigating Causal Relations by Econometric Models and Cross-Spectral Methods." Econometrica 37, 424-438, (1969).
26. Granger, C.W.J. and O. Morgenstern." Spectral Analysis of New York Market Prices." Kyklos 16, 1-27, (1963).
27. Hamao, Y., R.W Masulis, and V. Ng." Correlations in Price Changes and Volatility Across International Stock Markets." Review of Financial Studies 3, 281-307, (1990).
28. Harris, L." Cross-Security Tests of the Mixture of Distributions Hypothesis." Journal of Financial and Quantitative Analysis 21, 39-46, (1986).
29. Haugh, L.D." Checking the Independence of Two Covariance Stationary Time Series: A Univariate Residual Cross-Correlation Approach." Journal of the American Statistical Association 71, 378-385, (1976).
30. Hiemstra, C. and J.D. Jones." Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation." Journal of Finance 49, 1639-1664, (1994).
31. Jaffe, J. and R. Westerfield." The Weekend Effect in Common Stock Returns: The International Evidence." Journal of Finance 40, 433-454, (1985).
32. Jennings, R., L. Starks, and J. Fellingham." An Equilibrium Model of Asset of Trading with Sequential Information Arrival." Journal of Finance 36, 143-161, (1981).
33. Jorion, P." Predicting Volatility in the Foreign Exchange Market." Journal of Finance 50, 507-528, (1995).
34. Karpoff, J.M." The Relation Between Price Changes and Trading Volume: A Survey." Journal of Financial and Quantitative Analysis 22, 109-126, (1987).
35. Keim, D.B. and R.F. Stambaugh." A Further Investigation of the Weekend Effect in Stock Returns." Journal of Finance 39, 819-840, (1984).
36. King, M.A. and S. Wadhwani." Transmission of Volatility Between Stock Markets." Review of Financial Studies 3,5-33, (1990).
37. Lakonishok, J. and M. Levi." Weekend Effects on Stock Return: A Note." Journal of Finance 37, 883-889, (1982).
38. Lakonishok, J. and E. Maberly." The Weekend Effect: Trading Patterns of Individual and Institutional Investors." The Journal of Finance 45, 231-243, (1990).
39. Lakonishok, J. and S. Smidt." Volume and Turn-of-the-Year Behavior." Journal of Financial Economics 13, 435-455, (1984).
40. Phillip, P.C.B. and P. Perron." Testing for a Unit Root in Time Series Regression." Biometrica 75, 335-346, (1988).
41. Rogalski, R.J." The Dependence of Prices and Volume." Review of Economics and Statistics 60,268-274, (1979).
42. Tauchen, G.E. and M. Pitts." The Price Variability-Volume Relationship on Speculative Markets." Econometrica 51, 485-505, (1983).
43. Sims, C.A." Money, Income, and Causality." American Economic Review 62, 540-552, (1972).
44. Sims, C.A." Comparison of Interwar and Postwar Business Cycles: Monetarism Reconsidered." American Economic Review 70, 250-257, (1980).
45. Wang, J." A Model of Competitive Stock Trading Volume." Journal of Political Economy 102, 127-168, (1994).
46. Wood, R.A., T.H. McInish, and J.K. Ord." An Investigation of Transaction Data for NYSE Stocks." Journal of Finance 40, 723-741, (1985).