Advanced Search
MyIDEAS: Login to save this paper or follow this series

Speculative Trading and Stock Prices: An Analysis of Chinese A-B Share Premia

Contents:

Author Info

  • Jianping Mei
  • Jose Scheinkman
  • Wei Xiong

Abstract

No abstract is available for this item.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.princeton.edu/~wxiong/papers/china.pdf
Download Restriction: no

Bibliographic Info

Paper provided by UCLA Department of Economics in its series Levine's Bibliography with number 122247000000000867.

as in new window
Length:
Date of creation: 31 Dec 2005
Date of revision:
Handle: RePEc:cla:levrem:122247000000000867

Contact details of provider:
Web page: http://www.dklevine.com/

Related research

Keywords:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
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.:
as in new window
  1. Sugato Chakravarty & Asani Sarkar & Lifan Wu, 1998. "Information asymmetry, market segmentation, and the pricing of cross-listed shares: theory and evidence from Chinese A and B shares," Research Paper, Federal Reserve Bank of New York 9820, Federal Reserve Bank of New York.
  2. Pastor, Lubos & Stambaugh, Robert F., 2003. "Liquidity Risk and Expected Stock Returns," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 111(3), pages 642-685, June.
  3. Morris, Stephen, 1996. "Speculative Investor Behavior and Learning," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 111(4), pages 1111-33, November.
  4. Darrell Duffie & Nicolae Garleanu & Lasse Heje Pedersen, 2004. "Over-the-Counter Markets," NBER Working Papers 10816, National Bureau of Economic Research, Inc.
  5. John H. Cochrane, 2002. "Stocks as Money: Convenience Yield and the Tech-Stock Bubble," NBER Working Papers 8987, National Bureau of Economic Research, Inc.
  6. Owen A. Lamont & Richard H. Thaler, 2003. "Can the Market Add and Subtract? Mispricing in Tech Stock Carve-outs," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 111(2), pages 227-268, April.
  7. Vayanos, Dimitri & Wang, Tan, 2007. "Search and endogenous concentration of liquidity in asset markets," Journal of Economic Theory, Elsevier, Elsevier, vol. 136(1), pages 66-104, September.
  8. Chui, Andy C W & Kwok, Chuck C Y, 1998. "Cross-Autocorrelation between A Shares and B Shares in the Chinese Stock Market," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 21(3), pages 333-53, Fall.
  9. Harrison Hong & Jose Scheinkman & Wei Xiong, 2005. "Asset Float and Speculative Bubbles," Levine's Bibliography 122247000000000861, UCLA Department of Economics.
  10. Nicholas Barberis & Richard Thaler, 2002. "A Survey of Behavioral Finance," NBER Working Papers 9222, National Bureau of Economic Research, Inc.
  11. Andy C. W. Chui & Chuck C. Y. Kwok, 1998. "Cross-Autocorrelation Between A Shares And B Shares In The Chinese Stock Market," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 21(3), pages 333-353, 09.
  12. Harrison, J Michael & Kreps, David M, 1978. "Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 92(2), pages 323-36, May.
  13. Hirshleifer, David, 2001. "Investor Psychology and Asset Pricing," MPRA Paper 5300, University Library of Munich, Germany.
  14. Wu, De-Min, 1973. "Alternative Tests of Independence Between Stochastic Regressors and Disturbances," Econometrica, Econometric Society, Econometric Society, vol. 41(4), pages 733-50, July.
  15. Bailey, Warren & Chung, Y. Peter & Kang, Jun-koo, 1999. "Foreign Ownership Restrictions and Equity Price Premiums: What Drives the Demand for Cross-Border Investments?," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 34(04), pages 489-511, December.
  16. Milgrom, Paul & Stokey, Nancy, 1982. "Information, trade and common knowledge," Journal of Economic Theory, Elsevier, Elsevier, vol. 26(1), pages 17-27, February.
  17. Chordia, Tarun & Subrahmanyam, Avanidhar & Anshuman, V. Ravi, 2001. "Trading activity and expected stock returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 59(1), pages 3-32, January.
  18. Lee, Charles M C & Shleifer, Andrei & Thaler, Richard H, 1991. " Investor Sentiment and the Closed-End Fund Puzzle," Journal of Finance, American Finance Association, American Finance Association, vol. 46(1), pages 75-109, March.
  19. John Fernald & John H. Rogers, 2000. "Puzzles in the Chinese stock market," Working Paper Series, Federal Reserve Bank of Chicago WP-00-13, Federal Reserve Bank of Chicago.
  20. G. M. Chen & Bong-Soo Lee & Oliver Rui, 2001. "Foreign Ownership Restrictions And Market Segmentation In China'S Stock Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 24(1), pages 133-155, 03.
  21. Bekaert, Geert & Harvey, Campbell & Lundblad, Christian T., 2006. "Liquidity and Expected Returns: Lessons from Emerging Markets," CEPR Discussion Papers, C.E.P.R. Discussion Papers 5946, C.E.P.R. Discussion Papers.
  22. Weill, Pierre-Olivier, 2008. "Liquidity premia in dynamic bargaining markets," Journal of Economic Theory, Elsevier, Elsevier, vol. 140(1), pages 66-96, May.
  23. Eli Ofek & Matthew Richardson, 2003. "DotCom Mania: The Rise and Fall of Internet Stock Prices," Journal of Finance, American Finance Association, American Finance Association, vol. 58(3), pages 1113-1138, 06.
  24. Jeffrey A. Wurgler & Malcolm P. Baker, 2001. "Market Timing and Capital Structure," Yale School of Management Working Papers, Yale School of Management ysm181, Yale School of Management.
  25. Froot, Kenneth A. & Dabora, Emil M., 1999. "How are stock prices affected by the location of trade?," Journal of Financial Economics, Elsevier, Elsevier, vol. 53(2), pages 189-216, August.
  26. Amihud, Yakov & Mendelson, Haim, 1986. "Asset pricing and the bid-ask spread," Journal of Financial Economics, Elsevier, Elsevier, vol. 17(2), pages 223-249, December.
  27. Mark Mitchell & Todd Pulvino & Erik Stafford, 2002. "Limited Arbitrage in Equity Markets," Journal of Finance, American Finance Association, American Finance Association, vol. 57(2), pages 551-584, 04.
  28. Hietala, Pekka T, 1989. " Asset Pricing in Partially Segmented Markets: Evidence from the Finnish Market," Journal of Finance, American Finance Association, American Finance Association, vol. 44(3), pages 697-718, July.
  29. Diamond, Douglas W. & Verrecchia, Robert E., 1987. "Constraints on short-selling and asset price adjustment to private information," Journal of Financial Economics, Elsevier, Elsevier, vol. 18(2), pages 277-311, June.
  30. Tirole, Jean, 1982. "On the Possibility of Speculation under Rational Expectations," Econometrica, Econometric Society, Econometric Society, vol. 50(5), pages 1163-81, September.
  31. Hausman, Jerry A, 1978. "Specification Tests in Econometrics," Econometrica, Econometric Society, Econometric Society, vol. 46(6), pages 1251-71, November.
  32. Harris, Milton & Raviv, Artur, 1993. "Differences of Opinion Make a Horse Race," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 6(3), pages 473-506.
  33. Chen, G M & Lee, Bong-Soo & Rui, Oliver, 2001. "Foreign Ownership Restrictions and Market Segmentation in China's Stock Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 24(1), pages 133-55, Spring.
  34. Sun, Qian & Tong, Wilson H. S., 2003. "China share issue privatization: the extent of its success," Journal of Financial Economics, Elsevier, Elsevier, vol. 70(2), pages 183-222, November.
  35. Bailey, Warren & Jagtiani, Julapa, 1994. "Foreign ownership restrictions and stock prices in the Thai capital market," Journal of Financial Economics, Elsevier, Elsevier, vol. 36(1), pages 57-87, August.
  36. Zhiwu Chen & Peng Xiong, 2001. "Discounts On Illiquid Stocks: Evidence From China," Yale School of Management Working Papers, Yale School of Management ysm232, Yale School of Management, revised 01 Sep 2002.
  37. Jose A. Scheinkman & Wei Xiong, 2003. "Overconfidence and Speculative Bubbles," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 111(6), pages 1183-1219, December.
  38. Lesmond, David A & Ogden, Joseph P & Trzcinka, Charles A, 1999. "A New Estimate of Transaction Costs," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 12(5), pages 1113-41.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Harrison Hong & José Scheinkman & Wei Xiong, 2006. "Asset Float and Speculative Bubbles," Journal of Finance, American Finance Association, American Finance Association, vol. 61(3), pages 1073-1117, 06.
  2. Bernardo Bortolotti & Andrea Beltratti, 2006. "The Nontradable Share Reform in the Chinese Stock Market," Working Papers, Fondazione Eni Enrico Mattei 2006.131, Fondazione Eni Enrico Mattei.
  3. Chan, Kalok & Menkveld, Albert J. & Yang, Zhishu, 2006. "Are Domestic Investors Better Informed than Foreign Investors? : Evidence from the Perfectly Segmented Market in China," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics 0004, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  4. J. Scheinkman & W. Xiong, 2002. "Overconfidence, Short-Sale Constraints and Bubbles," Princeton Economic Theory Working Papers, David K. Levine 98734966f1c1a57373801367f, David K. Levine.
  5. Ng, Lilian & Wu, Fei, 2007. "The trading behavior of institutions and individuals in Chinese equity markets," Journal of Banking & Finance, Elsevier, Elsevier, vol. 31(9), pages 2695-2710, September.
  6. Berkman, Henk & Cole, Rebel A. & Fu, Lawrence J., 2011. "Political Connections and Minority-Shareholder Protection: Evidence from Securities-Market Regulation in China," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 45(06), pages 1391-1417, January.
  7. Sun, Qian & Tong, Wilson H.S. & Yan, Yuxing, 2009. "Market liberalization within a country," Journal of Empirical Finance, Elsevier, Elsevier, vol. 16(1), pages 18-41, January.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:cla:levrem:122247000000000867. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (David K. Levine).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.