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Extreme volumes and expected stock returns: Evidence from China's stock market

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  • Yun Wang, Chang
  • Sang Cheng, Nam

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  • Yun Wang, Chang & Sang Cheng, Nam, 2004. "Extreme volumes and expected stock returns: Evidence from China's stock market," Pacific-Basin Finance Journal, Elsevier, vol. 12(5), pages 577-597, November.
    • Handle: RePEc:eee:pacfin:v:12:y:2004:i:5:p:577-597
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    8. Simon Gervais & Ron Kaniel & Dan H. Mingelgrin, 2001. "The High‐Volume Return Premium," Journal of Finance, American Finance Association, vol. 56(3), pages 877-919, June.
    9. Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
    10. Chordia, Tarun & Subrahmanyam, Avanidhar & Anshuman, V. Ravi, 2001. "Trading activity and expected stock returns," Journal of Financial Economics, Elsevier, vol. 59(1), pages 3-32, January.
    11. Kang, Joseph & Liu, Ming-Hua & Ni, Sophie Xiaoyan, 2002. "Contrarian and momentum strategies in the China stock market: 1993-2000," Pacific-Basin Finance Journal, Elsevier, vol. 10(3), pages 243-265, June.
    12. Charles M.C. Lee & Bhaskaran Swaminathan, 2000. "Price Momentum and Trading Volume," Journal of Finance, American Finance Association, vol. 55(5), pages 2017-2069, October.
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    14. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
    15. Petersen, Mitchell A. & Fialkowski, David, 1994. "Posted versus effective spreads *1: Good prices or bad quotes?," Journal of Financial Economics, Elsevier, vol. 35(3), pages 269-292, June.
    16. Brennan, Michael J. & Chordia, Tarun & Subrahmanyam, Avanidhar, 1998. "Alternative factor specifications, security characteristics, and the cross-section of expected stock returns," Journal of Financial Economics, Elsevier, vol. 49(3), pages 345-373, September.
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    Cited by:

    1. Qian, Xiaolin & Tam, Lewis H.K. & Zhang, Bohui, 2014. "Systematic liquidity and the funding liquidity hypothesis," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 304-320.
    2. Wang, Peipei & Wen, Yuanji & Singh, Harminder, 2017. "The high-volume return premium: Does it exist in the Chinese stock market?," Pacific-Basin Finance Journal, Elsevier, vol. 46(PB), pages 323-336.
    3. Chen, Xuanjuan & Kim, Kenneth A. & Yao, Tong & Yu, Tong, 2010. "On the predictability of Chinese stock returns," Pacific-Basin Finance Journal, Elsevier, vol. 18(4), pages 403-425, September.
    4. Chae, Joon & Kang, Mhin, 2019. "Low-volume return premium in the Korean stock market," Pacific-Basin Finance Journal, Elsevier, vol. 58(C).
    5. Xingjian Zheng & Dehua Shen, 2020. "The High-Volume Return Premium: Does it Really Exist in the Chinese Stock Market?," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(2), pages 213-230, June.
    6. Zhang, Yiming & Wang, Guanying, 2020. "Compensation for illiquidity in China: Evidence from an alternative measure," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
    7. Shih-Yung Wei & Li-Wei Lin & Surong Yan & Lu-jie Zhu, 2019. "Empirical Analysis on Price-Volume Relation in the Stock Market of China," International Journal of Economics and Financial Issues, Econjournals, vol. 9(5), pages 94-103.
    8. Ma, Rui & Anderson, Hamish D. & Marshall, Ben R., 2018. "Stock market liquidity and trading activity: Is China different?," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 32-51.
    9. Marshall, Ben R. & Cahan, Rochester H., 2005. "Is technical analysis profitable on a stock market which has characteristics that suggest it may be inefficient?," Research in International Business and Finance, Elsevier, vol. 19(3), pages 384-398, September.
    10. Narayan, Paresh Kumar & Narayan, Seema & Westerlund, Joakim, 2015. "Do order imbalances predict Chinese stock returns? New evidence from intraday data," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 136-151.
    11. Guo, Bin & Zhang, Wei & Zhang, Yongjie & Zhang, Han, 2017. "The five-factor asset pricing model tests for the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 43(C), pages 84-106.
    12. Truong, Cameron, 2010. "Post earnings announcement drift and the roles of drift-enhanced factors in New Zealand," Pacific-Basin Finance Journal, Elsevier, vol. 18(2), pages 139-157, April.
    13. Goh, Jeremy C. & Jiang, Fuwei & Tu, Jun & Wang, Yuchen, 2013. "Can US economic variables predict the Chinese stock market?," Pacific-Basin Finance Journal, Elsevier, vol. 22(C), pages 69-87.

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