Taking Shanghai A-share listed companies as the research object,this paper explores the relationship between the abnormal trading volume shocks and the future stock price change by building zero investment portfolios which based on the abnormal trade volume.The study found that the stocks which experience the abnormal high trading volume shocks in the formation period will have higher return in the holding period,the stocks which experience the abnormal low trading volume shocks in the formation period will have lower return in the holding period,and the risk-adjusted returns of the zero investment portfolios in the holding period are significantly positive,and gradually increased with the extension of the holding period.The risk-adjusted return in 20 weeks holding period of the zero investment portfolios reach 5.69%.These show that China's A-share market exists the abnormal trading volume shock effects.In order to analyze the presence reasons of the abnormal trading volume shock effect,this paper conducts a series of empirical studies on its various possibilities explains.The empirical results show that short-term autocorrelation of return series,momentum effect,and announcement effect can not explain the abnormal trading volume shock effect,but the visibility hypothesis can explains the abnormal trading volume shock effect.Finall,we examine the differences in the abnormal trading volume shock effect between the different characteristics listed companies stocks.Empirical studies have found that the abnormal trading volume shock effect of small-scale company stocks is stronger than that of big-scale company stocks;the abnormal trading volume shock effect of growth stocks is stronger than value stocks;for penny stocks and high-priced stocks,there is basically no difference in the abnormal trading volume shock effect. |