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Information of Unusual Trading Volume

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  • Yugang Yin
  • Yahui Liu

Abstract

This article investigates the information content of stock unusual trading volume from the aspect of firm fundamental information revealed by both earnings formal announcements and preannouncements. By using the stock market data of China from the second quarter of 2003 to the end of 2015, this article provides evidence that, in general, stocks that experience unusually low trading volume over the week prior to earnings announcements have more unfavorable earnings surprises. However, because of the feature of mandatory pre-disclosure policy in China, this article further finds that the relation between unusually low trading volume and unfavorable earnings surprises only exists in the stocks without earnings preannouncements, because fundamental information is incorporated in the stock prices timely around preannouncements date. In addition, unusually low trading volume signals negative fundamental changes revealed by preannouncements, and this effect is more pronounced among stocks with higher short-selling constraints, but unusually high trading volume is value-irrelevant.

Suggested Citation

  • Yugang Yin & Yahui Liu, 2018. "Information of Unusual Trading Volume," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(11), pages 2409-2432, September.
    • Handle: RePEc:mes:emfitr:v:54:y:2018:i:11:p:2409-2432
    DOI: 10.1080/1540496X.2017.1399355
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    Cited by:

    1. Júlio Lobão & Patrícia Piedade & Srinivas Nippani, 2022. "Does stock trading volume signal future dividends? Evidence from Iberian firms," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 21(1), pages 53-66, January.
    2. Bajzik, Josef, 2021. "Trading volume and stock returns: A meta-analysis," International Review of Financial Analysis, Elsevier, vol. 78(C).

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