TY - JOUR
T1 - No news is not good news
T2 - Evidence from the intra-day return volatility-volume relationship in Shanghai Stock Exchange
AU - Krishnamurti, Chandrasekhar
AU - Tian, Gary Gang
AU - Xu, Min
AU - Li, Guangchuan
PY - 2013/2
Y1 - 2013/2
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=84873157820&partnerID=8YFLogxK
U2 - 10.1080/13547860.2012.742709
DO - 10.1080/13547860.2012.742709
M3 - Article
AN - SCOPUS:84873157820
SN - 1354-7860
VL - 18
SP - 149
EP - 167
JO - Journal of the Asia Pacific Economy
JF - Journal of the Asia Pacific Economy
IS - 1
ER -