Research On Abnormal Trading Volume 's Ability To Predict Corporate Performance

In recent years,the scale of China's stock market is increasing and the proportion of the stock market capitalization in the macro-economy is also increasing.At the end of 2015,A-share stock market value reached 43 trillion yuan,accounting for 63% of the year's gross domestic product.At the same time,in the transition to a market economy at this stage,China's stock market is still not mature enough compared to capital market in Europe and America.There're series of problems,such as relatively high proportion of retail investors,poor market depth,imperfect system,low efficiency of supervision,and great impact of policy intervention on market volatility.Especially in the past 2015,market index and market volume experienced huge fluctuation in just one year.It has a huge impact on the wealth distribution of the people and even the national economy.However,ordinary retail investors tend to focus only on changes in stock prices and trading volume,but less concerned about the performance of listed companies.In fact,changes in performance of listed companies is the core of its investment value.Usually,there will be informed investors buy and sell stocks in advance with their judgments on companies' possible peformance change,and their trading further cause stock volume,especially abnormal volume changes.Therefore,changes in abnormal stock volume can reflect changes in investor behavior resulting from changes in investors' information.However,to which extent can abnormal stock volume reflect changes in the performance of listed companies in the end? Academia tend to focus on the relationship between stock price and volume,and there is little research on the abnormal trading volume to reflect the performance of listed companies.For this reason,this paper focuses on this issue.Based on the existing research on stock volume,company performance and stock price,this paper studies abnormal trading volume's ability to predict corporate performance by building up performance index based on the performance published in annual report and trading volume index based on daily turnover of the stock,using the stock data of Shanghai and Shenzhen stock markets from early 2014 to early 2016.This paper uses the method of grouping analysis and regression model analysis.Through the study,we found that: first,in China's stock market,abnormal low volume predicts the worst performance of the company,in other words,stocks with abnormal low volume prior to earnings announcements tend to have significantly lower earnings surprises;second,abnormal high volume can not accurately predict the performance of the company: in the first half of 2015,abnormal high volume have a certain reflection of good performance of the company,but the prediction is weak at market in early 2016 and late 2014;third,the increasing volume reflects a better performance of the company when the trading volume is below the average level.This relationship ends when the trading volume gets over the average level and it will be affected by the market environment.The contribution of this paper mainly lies in three aspects: first,the study provides a new perspective on the analysis of China's stock market,help to deepen the awareness of Chinese stock market investors' rationality and the overall market environment,and make a useful complement to the study of A-share stock market trading volume;second,this paper uses the method of grouping analysis and regression analysis to study abnormal trading volume's ability to predict corporate performance.At the same time,abnormal volume is divided into abnormal low volume and abnormal high volume,their ability to predict corporate performance is studied respectively;third,this paper selects sample data of A-share from early 2014 to early 2016,the latest data can reflect the current situation of China's stock market,and the sample size is large enough to contain enough information to reflect the problem.