文献类型： 会议论文

第一作者： ZHU Tianxing

作者： ZHU Tianxing ¹ ; CHI Guotai ² ; LI Xingfa ³ ; WANG He ⁴ ;

作者机构： 1.School of business management Da lian university of technology, Dalian, China, 116024 Economics school, Shen yang university of technology, Shenyang China, 110871 Postdoctoral rogramme,Bank of Dalian, Dalian, China, 116001

2.School of business management Da lian university of technology, Dalian, China, 116024

3.School of business management Da lian university of technology, Dalian, China, 116024 Postdoctoral Programme, Bank of Dalian, Dalian, China,116001

4.Economics school, Shen yang university of technology, Shenyang China, 110871

关键词： lead lag relationship;autocorrelation;cross correlation

会议名称： International conference on financial risk and corporate finance management

主办单位：

页码： 100-105

摘要： This paper empirically investigate volume related asymmetry predictability(lead lag relationship) by selecting samples from Shang Hai stock market in China. Results indicate that there exists volume related lead lag relationship when controlling for autocorrelation in daily returns and dependent to size effect (size related lead lag relationship). Further research show this lead lag relationship is due to different adjustment of different volume portfolio to marketwide information. And volume related lead lag relationship in daily returns in china stock market can to some extent put forward instructive suggestions for Chinese investors.

分类号： F276.6`F276.6