Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/239313 
Year of Publication: 
2020
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 13 [Issue:] 10 [Publisher:] MDPI [Place:] Basel [Year:] 2020 [Pages:] 1-17
Publisher: 
MDPI, Basel
Abstract: 
This study examines the empirical relationship between unusual trading volume and earnings surprises in China's A-share market. We provide evidence that an unusually low trading volume can signify negative information about firm fundamentals. Moreover, unusual trading volumes could predict abnormal returns close to the earnings announcement date. The degree of, and changes in, divergence of opinion could explain this result. Our study provides an insight into China's market, where short sales are strictly forbidden. We report a strong relationship that is quite different from that described in most studies on the United States market.
Subjects: 
China's market
divergence of opinion
earnings surprises
stock return
unusual trading volume
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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