Information-Based Trade in the Shanghai StockMarket
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 (1992) 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 InfoPaper provided by Cardiff University, Cardiff Business School, Economics Section in its series Cardiff Economics Working Papers with number E2008/2.
Length: 20 pages
Date of creation: Jan 2008
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Other versions of this item:
- Copeland, Laurence & Wong, Woon K. & Zeng, Yong, 2009. "Information-based trade in the Shanghai stock market," Global Finance Journal, Elsevier, vol. 20(2), pages 180-190.
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