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

Xiangdong Chen    
Fei Wang    
Wei Wang and Valerie Hunstock    

Resumen

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.

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