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Information 2017, 8(3), 112; doi:10.3390/info8030112

Volume Shocks around Announcements in the Chinese Stock Market: An Ex-Post Earnings-Information-Based Study of Speculative Behavior

1
School of Economics and Management, Beihang University, Beijing 100083, China
2
Institute of Computing Technology Chinese Academy of Sciences, Beijing 100190, China
3
School of International Trade and Economics, University of International Business and Economics, Beijing 100029, China
*
Author to whom correspondence should be addressed.
Received: 7 July 2017 / Revised: 3 September 2017 / Accepted: 8 September 2017 / Published: 14 September 2017
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Abstract

The Second Board Market is typical stock market for high tech companies in China. This paper discusses the relationship between trading volume and price changes in the case of high-tech listed companies in the Chinese Second-Board Stock Market. By using the basic concepts proposed by Kim and Verrecchia, and Kandel and Pearson, and contrasting them with ex-post information from earnings releases, the paper provides findings on the speculative behavior of informed traders with a volume shock premium. The paper suggests that these methods may be further applied to investigating investors’ behavior in speculation, especially for the high-tech-company-based Second-Board Stock Market during announcement periods. View Full-Text
Keywords: Second-Board Stock Market; speculative behavior; trading volume; ex-post information Second-Board Stock Market; speculative behavior; trading volume; ex-post information
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This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).

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Chen, X.; Wang, F.; Wang, W.; Hunstock, V. Volume Shocks around Announcements in the Chinese Stock Market: An Ex-Post Earnings-Information-Based Study of Speculative Behavior. Information 2017, 8, 112.

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