Buy and sell dynamics following high market returns: Evidence from China Wongchoti, Udomsak; Wu, Fei; Young, Martin

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Wongchoti, Udomsak ; Wu, Fei ; Young, Martin
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International Review of Financial Analysis
To link to full-text access for this article, visit this link: Byline: Udomsak Wongchoti, Fei Wu, Martin Young Keywords: Return volume relation; Trading dynamics 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. Author Affiliation: Department of Economics and Finance, Massey University, Palmerston North, New Zealand Article History: Received 4 September 2008; Revised 23 January 2009; Accepted 24 January 2009
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