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Article: Stock returns, volatility, and trading volume: evidence from the Chinese stock markets.(Report)(Conference notes)
- Article from:
- International Journal of Business
- Article date:
- March 22, 2001
- Author:
CopyrightCOPYRIGHT 2001 Premier Publishing, Inc. This material is published under license from the publisher through the Gale Group, Farmington Hills, Michigan. All inquiries regarding rights should be directed to the Gale Group. (Hide copyright information)
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ABSTRACT
This paper examines three important issues in Chinese stock markets. First, we examine the behavior of stock returns, volatility, and trading volume in Chinese stock markets. Second, we investigate the contemporaneous and causality relationship among stock returns, volatility, and trading volume at the Shanghai and Shenzhen Stock Exchanges over the period from the beginning of the Shanghai stock market in December 1990 (April 1991 for the Shenzhen stock market) to June 1999. And lastly, we examine the linkage between the Shanghai Stock Exchange and the Shenzhen Stock Exchange. We first find that monthly return volatility and trading volume volatility ...