Stock return seasonalities and investor structure: Evidence from China's B-share markets

Arbeitspapier

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.

Object Details

• ISBN: 978-952-462-995-9
• Language: Englisch

References and Relationships

• Bibliographic citation: Series: BOFIT Discussion Papers ; No. 20/2009

Classification and Topics

• Classification: Wirtschaft ; Asset Pricing; Trading Volume; Bond Interest Rates ; Information and Market Efficiency; Event Studies; Insider Trading ; General Financial Markets: Government Policy and Regulation
• Subject: institutional investors ; individual investors ; stock return seasonalities ; Chinese stock markets ; GARCH model

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Bohl, Martin T. ; Schuppli, Michael ; Siklos, Pierre L.
• Event: Veröffentlichung
• (who): Bank of Finland, Institute for Economies in Transition (BOFIT)
• (where): Helsinki
• (when): 2009

Further information

• Handle: http://hdl.handle.net/10419/212664
• Last update: 10.03.2025, 11:42 AM CET