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

Krishnamurti, Chandrasekar, Tian, Gary, Xu, Min and Li, Guangchuan 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, vol. 18, no. 1, pp. 149-167, doi: 10.1080/13547860.2012.742709.

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Title No news is not good news: evidence from the intra-day return volatility–volume relationship in Shanghai Stock Exchange
Author(s) Krishnamurti, Chandrasekar
Tian, Gary
Xu, Min
Li, Guangchuan
Journal name Journal of the Asia Pacific economy
Volume number 18
Issue number 1
Start page 149
End page 167
Total pages 19
Publisher Routledge
Place of publication Oxford, Eng.
Publication date 2013
ISSN 1354-7860
Keyword(s) MDH
trading volume
return volatility
asymmetric effect
EGARCH-GED
Chinese stock market
G12
G14
G15
Summary 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.
Language eng
DOI 10.1080/13547860.2012.742709
Field of Research 150201 Finance
Socio Economic Objective 900101 Finance Services
HERDC Research category C1.1 Refereed article in a scholarly journal
Copyright notice ©2013, Taylor & Francis
Persistent URL http://hdl.handle.net/10536/DRO/DU:30078274

Document type: Journal Article
Collection: Department of Finance
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