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Speculative dynamics and price behavior in the Shanghai Stock Exchange

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  • Koutmos, Dimitrios
  • Song, Wei

Abstract

This article examines the extent to which the trading behavior of heterogeneous investors manifests in stock price changes of asset portfolios which constitute the Shanghai Stock Exchange. There are three major findings that materialize. Firstly, reliable statistical evidence of a negative relation between the conditional first and second moments of the return distributions of stock prices lends support to the volatility feedback effect. Secondly, ‘feedback’, or momentum-type investors, are not present in this market as is often detected from the daily price changes of other industrialized markets. Finally, trade volume as a proxy for ‘information-driven’ trading suggests that such investors play a statistically significant role in stock price movements. Parameter estimates from this latter group of investors imply that a rise in stock prices from a high volume trading day is more likely than a rise resulting from a low volume trading day.

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  • Koutmos, Dimitrios & Song, Wei, 2014. "Speculative dynamics and price behavior in the Shanghai Stock Exchange," Research in International Business and Finance, Elsevier, vol. 31(C), pages 74-86.
    • Handle: RePEc:eee:riibaf:v:31:y:2014:i:c:p:74-86
    DOI: 10.1016/j.ribaf.2013.11.006
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    Cited by:

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    2. Litimi, Houda & BenSaïda, Ahmed & Bouraoui, Omar, 2016. "Herding and excessive risk in the American stock market: A sectoral analysis," Research in International Business and Finance, Elsevier, vol. 38(C), pages 6-21.
    3. Koutmos, Dimitrios, 2016. "Distilling private information from plain-vanilla options to predict future underlying stock price volatility: Evidence from the H-shares of Chinese banks," Research in International Business and Finance, Elsevier, vol. 37(C), pages 391-405.

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