Trading volume movement versus price change: The volume shock around earning announcement in Chinese stock market

Abstract

In general, large trading volume with small or even absence of price change can be investigated around event period frequently by international researchers, and attracts much attention from various studies. Major explanation for this phenomenon is that there is an information precision or differential perception about the information for informed traders as well as for liquidates traders. The paper discusses relationship between trading volume and price change under Chinese stock market case. By using basic concept Kim and Verrecchia propose as well as Kandel and Pearson' model, the paper provides findings on informed traders' behavior and volume shock premium, suggesting that the methods can be further applied to investigate investors behavior in Chinese stock market. © Springer-Verlag Berlin Heidelberg 2013.