Abstract
In this paper, we construct long-position portfolios and zero-investment portfolios to study the returns of stocks with high-or-low trading volume. Distinct from previous literature, this study finds that both high-volume return premium and discount effect exist in the Chinese market while the discount effect seems to be more prevalent. However, the dominance of the low volume return premium is not persistent, suggesting that the Chinese stock market is moving from undeveloped towards developed markets.
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