Pre-losing Announcement Trading Volume Reaction

During the recent two decades, more and more researches have turned theirfocuses on investors' trading behavior. The price changes behavior and the tradingvolume reaction are different in essence. In this paper, we investigate the tradingvolume reaction during the days surrounding the announcements of firm's poorfinance situation in our Chinese stock market. From the statistic data about the stockmarket, we can see that the influence on stocks that come from Shanghai StockExchange is relative great to those from Shenzhen Stock Exchange; abnormal tradingvolume is sensitive to the type of the report (semiannual or annual), while the tradingvolume do not; whether the stock is ST, PT or not don't change the trading volumereaction; investors put more emphasis on the firm's earning per share. We also findthat the trading volume reaction helps to build up a new balance of market after theannouncements bring us the breakage of original balance.