Information-based trade in the Shanghai stock market
AbstractWe show that the probability of information-based trade (PIN) played a significant role in explaining monthly returns on Shanghai A shares over the period 2001 to 2006. In particular, PIN, as approximated by order imbalance as a proportion of total transactions, appears to explain returns even after controlling for risk in the much-cited Fama and French [Fama, E. F. & French, K. R. (1992). The Cross-Section of Expected Stock Returns. Journal of Finance, XLVII, 427-465.] three-factor model. However, we also find that some of the PIN effect appears to be indistinguishable from a turnover effect.
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Bibliographic InfoArticle provided by Elsevier in its journal Global Finance Journal.
Volume (Year): 20 (2009)
Issue (Month): 2 ()
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Web page: http://www.elsevier.com/locate/inca/620162
Information-based trade Asset pricing Shanghai Stock Exchange;
Other versions of this item:
- Copeland, Laurence & Wong, Woon K & Zeng, Y, 2008. "Information-Based Trade in the Shanghai StockMarket," Cardiff Economics Working Papers E2008/2, Cardiff University, Cardiff Business School, Economics Section.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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Levine's Working Paper Archive
1908, David K. Levine.
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- Xu, Cheng Kenneth, 2000. "The microstructure of the Chinese stock market," China Economic Review, Elsevier, vol. 11(1), pages 79-97.
- David Easley & Maureen O'hara, 2004. "Information and the Cost of Capital," Journal of Finance, American Finance Association, vol. 59(4), pages 1553-1583, 08.
- David Easley & Soeren Hvidkjaer & Maureen O'Hara, 2002. "Is Information Risk a Determinant of Asset Returns?," Journal of Finance, American Finance Association, vol. 57(5), pages 2185-2221, October.
- Kang, Moonsoo, 2010. "Probability of information-based trading and the January effect," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2985-2994, December.
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