Skip to main content
Article
No news is not good news: evidence from the intra-day return volatility-volume relationship in Shanghai Stock Exchange
Faculty of Business - Papers
  • Chandrasekhar Krishnamurti, University of Southern, Queensland
  • Gary G Tian, University of Wollongong
  • Min Xu, China Construction Bank, Beijing
  • Guangchuan Li, China Securities Finance Corporation Limited, Beijing
RIS ID
75131
Publication Date
1-1-2013
Disciplines
Publication Details

Krishnamurti, C., Tian, G. G., Xu, M. & Li, G. (2013). No news is not good news: evidence from the intra-day return volatility-volume relationship in Shanghai Stock Exchange. Journal of the Asia Pacific Economy, 18 (1), 149-167.

Abstract

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.

Citation Information
Chandrasekhar Krishnamurti, Gary G Tian, Min Xu and Guangchuan Li. "No news is not good news: evidence from the intra-day return volatility-volume relationship in Shanghai Stock Exchange" (2013)
Available at: http://works.bepress.com/chandrasekhar_krishnamurti/4/