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The High-Volume Return Premium: Does it Really Exist in the Chinese Stock Market?

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Abstract

In this paper, we construct long-position portfolios and zero-investment portfolios to study the returns of stocks with high-or-low trading volume. Distinct from previous literature, this study finds that both high-volume return premium and discount effect exist in the Chinese market while the discount effect seems to be more prevalent. However, the dominance of the low volume return premium is not persistent, suggesting that the Chinese stock market is moving from undeveloped towards developed markets.

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Acknowledgements

This work is supported by the National Natural Science Foundation of China (71701150) and Young Elite Scientists Sponsorship Program by Tianjin (TJSQNTJ-2017-09).

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Authors and Affiliations

  1. College of Management and Economics, Tianjin University, No.92 Weijin Road, Nankai District, Tianjin, 300072, People’s Republic of China

    Xingjian Zheng & Dehua Shen

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  1. Xingjian Zheng
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  2. Dehua Shen
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Correspondence to Dehua Shen.

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Zheng, X., Shen, D. The High-Volume Return Premium: Does it Really Exist in the Chinese Stock Market?. Asia-Pac Financ Markets 27, 213–230 (2020). https://doi.org/10.1007/s10690-019-09290-4

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