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

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  • Chandrasekhar Krishnamurti
  • Gary Tian
  • Min Xu
  • Guangchuan Li

Abstract

Through this research, 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. Further examination of this phenomenon reveals that the positive impact of good news on volatility is driven by the return-chasing behaviour of investors during bull markets. We also find that volatility increases after stock price declines in bear markets. After controlling for liquidity shifts, we observe similar patterns in volatility in both bull and bear markets. We posit that institutional and behavioural factors are the major driving forces of observed volatility patterns in the Chinese stock market.

Suggested Citation

  • Chandrasekhar Krishnamurti & Gary Tian & Min Xu & Guangchuan Li, 2013. "No news is not good news: evidence from the intra-day return volatility–volume relationship in Shanghai Stock Exchange," Journal of the Asia Pacific Economy, Taylor & Francis Journals, vol. 18(1), pages 149-167.
    • Handle: RePEc:taf:rjapxx:v:18:y:2013:i:1:p:149-167
    DOI: 10.1080/13547860.2012.742709
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    References listed on IDEAS

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