Recently, the co-authored paper "Ownership Acceleration and the Volume Volatility-Return Link: Evidence from China" by Associate Professor Zhou Yuegang from the China Institute of Economics at Liaoning University has been officially accepted by the journal Pacific Basin Finance Journal.
Abstract of the Paper
This study takes China’s retail investor-dominated stock market as the research context to examine the relationship between the daily Volume Coefficient of Variation (VCV) and the future returns of stocks. It finds that VCV tends to trigger overreactions among small and medium retail investors, leading to a short-term stock price increase followed by a reversal. However, influential investors may alter this relationship—and this conclusion remains robust after verification through various statistical tests and sample definitions.
The core insight of the study reveals that the shareholding behavior of investors with market advantages (institutions and large retail investors) moderates the aforementioned relationship: when the shareholding of such investors accelerates, the negative correlation between VCV and returns weakens or even reverses. Using methods such as Fama-MacBeth regression and portfolio regression, and combining micro-level shareholding data from the Shanghai and Shenzhen markets, the study proposes a framework in which VCV possesses dual attributes of a behavioral factor and an information signal—it not only reflects short-term pricing biases caused by the cognitive limitations of small and medium retail investors but also serves as a signal of undervalued stocks when institutions or large retail investors accelerate their purchases based on positive private information.
In addition, the decomposition of VCV shows that its return predictability stems from components unrelated to return volatility, which confirms behavior biases driven by investor attention. Furthermore, under different liquidity conditions and market sentiment, the accelerated shareholding of institutions and large retail investors can stably weaken the negative predictive effect of VCV—highlighting the key role of investor heterogeneity in market efficiency.
Introduction to the Journal
Pacific Basin Finance Journal is a leading academic journal focusing on research related to financial markets in the Asia-Pacific region. As an SSCI-indexed journal, it holds significant influence in the international fields of finance and economics. The journal specializes in publishing high-quality research on themes such as asset pricing, market efficiency, investor behavior, and corporate finance in the Asia-Pacific region, providing important references for understanding financial dynamics globally, especially in emerging markets. With an Impact Factor of 5.3 in 2025, it is widely recognized by the global finance academic community as a key platform for publishing impactful research, and plays a vital role in advancing research and practice related to regional financial markets.
Author Introduction
Zhou Yuegang, Associate Professor at the China Institute of Economics / School of Economics, Liaoning University; External Master’s Supervisor at the School of Finance, Southwestern University of Finance and Economics; Ph.D. in Financial Mathematics from the University of Southern California (USA). He obtained his undergraduate degree from the University of Shanghai for Science and Technology.
He has previously served as an Assistant Professor at the China Institute of Finance and Development, Central University of Finance and Economics; Dean of the Dagong Research Institute at Dagong Global Credit Rating Co., Ltd.; and a Lecturer at the National School of Development, Peking University. He also has several years of entrepreneurial experience.
His main research and work focus on asset pricing, risk management, behavioral finance, and the research and development of intelligent education and teaching. He has published numerous papers in international academic journals such as the Journal of International Financial Markets, Institutions and Money and the Pacific-Basin Finance Journal, as well as in domestic academic journals including China Economic Quarterly, Journal of Financial Research, and Investment Research. He also acts as an anonymous reviewer for a number of academic journals.
In addition, he has compiled and published multiple university textbooks in disciplines such as economics, finance, and mathematics. Among these, his two-volume Credit Risk Management ranks first in national sales among books of the same category. He has also undertaken projects for local governments and universities, participating in the design and development of intelligent education and teaching systems.
