An Empirical Research on Volume-related Lead-lag Relationship in China Stock Market

摘要

This paper empirically investigates volume-related lead-lag relationship by selecting samples from Shanghai 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. But there does not exists volume-related lead-lag relationship within each size quartile in weekly returns, further research shows this lead-lag relationship is due to different adjustment of different volume portfolio to market-wide information. And volume-related lead-lag relationship in daily returns in China stock market can to some extent put forward instructive suggestions for Chinese investor.