| The idea that whether extreme trading behavior indicates any information concerning stock price trend is tested in this paper. The author finds that the fact that stocks experiencing unusually high (low) trading volume over a day or a week tend to appreciate (depreciate) over the course of the following month exists in the Chinese stock market as well. The author argues that this high-volume return premium might be driven by the stock's visibility or liquidity or both. Return autocorrelations, firm announcements and market risk do not seem to explain the results. |
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