High turnover with high price delay? Dissecting the puzzling phenomenon for China's A-shares

Following Barinov (2014), we decompose turnover into three components associated with liquidity, firm specific uncertainty, and investor attention and investigate their respective influences on price delay using a sample from 2008 to 2014. We find turnover has a positive relationship with uncertainty as well as investor attention measures, while turnover is negatively related to liquidity measures. Moreover, the turnover components which are related to uncertainty and illiquidity have positive impacts on price delay, and these impacts dominate the negative impact on delay from the attention component of turnover. Consequently, we observe an overall positive relationship between turnover and price delay.