Buy and Sell Dynamics Following High Market Returns: Evidence from China

International Review of Financial Analysis, Forthcoming

35 Pages Posted: 1 Feb 2009

See all articles by Udomsak Wongchoti

Udomsak Wongchoti

Massey University - School of Economics and Finance

Fei Wu

Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)

Martin R. Young

Massey University - School of Economics and Finance

Date Written: January 29, 2009

Abstract

We provide a closer look at the trading dynamics which may give rise to the positive relationship between market trading volume and its lagged returns. Chinese market turnover increases sharply with past day returns. A comprehensive dataset which facilitates the tracing of trading activities among different groups of investors reveals that when previous market returns are high, investors with larger (smaller) average trade size increase their buy (sell) volume. Our findings indicate an important role of differing responses to market information among different classes of investors (e.g. different priors) in explaining this recently documented phenomenon.

Keywords: return volume relation, trading dynamics

JEL Classification: G12, G14, G15

Suggested Citation

Wongchoti, Udomsak and Wu, Fei and Young, Martin R., Buy and Sell Dynamics Following High Market Returns: Evidence from China (January 29, 2009). International Review of Financial Analysis, Forthcoming . Available at SSRN: https://ssrn.com/abstract=1335036

Udomsak Wongchoti

Massey University - School of Economics and Finance ( email )

Private Bag 11-222
Palmerston North, 30974
New Zealand

Fei Wu (Contact Author)

Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) ( email )

Shanghai Jiao Tong University
211 West Huaihai Road
Shanghai, 200030
China

Martin R. Young

Massey University - School of Economics and Finance ( email )

Private Bag 11222
Palmerston North, 4442
New Zealand

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