Asymmetry Relationship Between Trading Volume And Earnings Announcement Information

Earnings announcement is an important source of information in the securities market,and it is also an important channel for investors to obtain company information.Its release has a certain impact on investors' trading behavior.To understand the securities market in depth,the first step is to start with trading behaviors,and to further understand the deep operating structure of the market according to the characteristics of the trading behavior,so as to achieve a comprehensive and profound understanding of it.The most intuitive manifestation of market trading behavior is the stock price and trading volume,historical stock price and trading volume reflect almost all market information.The stock price reaction of surplus announcement has attracted many scholars' attention in the country.Relatively few researches on trading volume response have been conducted.Therefore,this article starts from the perspective of transaction volume.In terms of transaction volume response,domestic and foreign literatures are more concerned with the relevant conclusions of high transaction volume and internal driven explanations,and there is a lack of attention and explanation for low transaction volume.Therefore,this article uses earnings announcement as a research event,cuts in from the perspective of abnormal trading volume,attempts to define abnormal transaction volume and categorizes its relationship with earnings announcement information.This article uses the announcement of surplus announcement as an event,definesthe abnormal trading volume before disclosure of earnings announcements,and studies the relationship between different trading volumes and earnings announcement information.First,this paper reviews domestic and foreign research on the relationship between earnings announcements and trading behaviors,and combines the characteristics of China's current capital market to sort out the impact of short-sales restrictions on trading behavior.After analyzing the existing researches,this article cuts through the perspective before disclosure of earnings announcements,and puts forward three key questions:(1)Is there an asymmetric relationship between abnormal trading volume and earnings announcement information before announcement?(2)If there is an asymmetric relationship between trading volume and earnings announcement,what is the reason for its formation? What other factors are more significant?(3)Does the asymmetric formation mechanism of trading volume and earnings announcement information make the driving factors between trading volume and yield rate asymmetric? In the empirical part of this paper,the data of the2012-2016 annual report of A-share listed companies in China(published in2013-2017)is selected as a sample,and the method of defining abnormal trading volume by Gervais,Kaniel and Mingelgrin(2001)and Ferhat Akbas(2016)is selected.,divided into three parts to conduct empirical research on the above issues.The main findings of this paper are: First,the relationship between the anomalous transaction volume before disclosure and the unanticipated surplus is asymmetric,and the unanticipated surplus of low-trading stocks is significantly lower than the stocks with high or normal transactions,indicating low transaction volume.It has a certain predictive effect on negative information,while high transaction volume does not.Second,an important reason for the asymmetric relationship between abnormal trading volume and unanticipated earnings is short-selling restrictions.The relationship between low trading volume and unanticipated surplus under the short-sales restriction is even more pronounced,and the relationship will be weakened when the short-sales restriction is weakened.And the asymmetric features are particularly evident in companies with a high share of institutional ownership.Third,high and low trading volumes are all significantly related to excess returns,but their driving factors are different.The relationship between low trading volume and stocks' excess returns is driven by fundamentals,while driving factors and fundamental values ??of high trading volume and excess returns.Little relationship.Finally,this paper proposes three suggestions based on the research results.First,improve the information disclosure mechanism and increase the true validity of information.Second,actively improve the system of margin financing and securities lending and reduce participation restrictions,so that the two stocks of the underlying stocks are truly active.Third,improve the investor structure and increase the proportion of institutional investors.