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

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  • Bohl, Martin T.
  • Schuppli, Michael
  • Siklos, Pierre L.

Abstract

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.

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Bibliographic Info

Article provided by Elsevier in its journal China Economic Review.

Volume (Year): 21 (2010)
Issue (Month): 1 (March)
Pages: 190-201

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Handle: RePEc:eee:chieco:v:21:y:2010:i:1:p:190-201

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Web page: http://www.elsevier.com/locate/chieco

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Keywords: Institutional investors Individual investors Stock return seasonalities Chinese stock markets GARCH model;

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