Investor Participation and the Volatility-Volume Relation: Evidence from an Emerging Market

38 Pages Posted: 19 Dec 2018 Last revised: 21 Jun 2019

See all articles by Jiangze Bian

Jiangze Bian

University of International Business and Economics (UIBE)

Kalok Chan

CUHK Business School

Wai Ming Fong

The Chinese University of Hong Kong (CUHK) - Department of Finance

Date Written: November 30, 2018

Abstract

Using a unique dataset from the Chinese stock market that keeps track of daily number of shareholders, we find that ownership breadth (proxied by number of shareholders) is negatively related to stock price volatility. However, consistent with the previous literature on volatility-volume relation, we find stock price volatility remains positively related to number of traders participating in the market.We also find that the relations of both the daily order imbalance and the daily depth imbalance with the number of shareholders (traders) are negative (positive). Our results suggest that a higher number of shareholders tend to supply liquidity and reduce volatility, while a higher number of traders tend to compete for liquidity and increase volatility.

Keywords: Ownership Breadth, Volatility-Volume Relation

JEL Classification: G10, G12

Suggested Citation

Bian, Jiangze and Chan, Kalok and Fong, Wai Ming, Investor Participation and the Volatility-Volume Relation: Evidence from an Emerging Market (November 30, 2018). Available at SSRN: https://ssrn.com/abstract=3294058 or http://dx.doi.org/10.2139/ssrn.3294058

Jiangze Bian (Contact Author)

University of International Business and Economics (UIBE) ( email )

10, East Huixin Street, Chaoyang District
Beijing, 100029
China

Kalok Chan

CUHK Business School ( email )

Hong Kong
852 3943 9988 (Phone)

Wai Ming Fong

The Chinese University of Hong Kong (CUHK) - Department of Finance ( email )

Shatin, N.T.
Hong Kong

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