Arbeitspapier
Stock return seasonalities and investor structure: Evidence from China's B-share markets
This paper investigates whether seasonalities in daily stock returns are related to the trading behavior of individual and institutional investors. The change in the investor structure of B-share markets in Shanghai and Shenzhen after the abolition of ownership restrictions in 2001 provides a unique testing environment. We show that day-of-the-week effects are attenuated after the market entrance of Chinese individual investors, who had previously not been allowed to trade in B-shares. Our empirical results suggest that institutional rather than individual investors are a main driving force behind such anomalies. In addition, we find evidence of reduced index return autocorrelation and US spillover effects in the post-liberalization period.
- ISBN
-
978-952-462-995-9
- Sprache
-
Englisch
- Erschienen in
-
Series: BOFIT Discussion Papers ; No. 20/2009
- Klassifikation
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Information and Market Efficiency; Event Studies; Insider Trading
General Financial Markets: Government Policy and Regulation
- Thema
-
institutional investors
individual investors
stock return seasonalities
Chinese stock markets
GARCH model
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bohl, Martin T.
Schuppli, Michael
Siklos, Pierre L.
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Finland, Institute for Economies in Transition (BOFIT)
- (wo)
-
Helsinki
- (wann)
-
2009
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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Objekttyp
- Arbeitspapier
Beteiligte
- Bohl, Martin T.
- Schuppli, Michael
- Siklos, Pierre L.
- Bank of Finland, Institute for Economies in Transition (BOFIT)
Entstanden
- 2009
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