Stock Return Seasonalities and Investor Structure: Evidence from China’s B-Share Markets
AbstractThis 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 environ- ment. We show that day-of-the-week e ects 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 addi- tion, we nd evidence of reduced index return autocorrelation and US spillover e ects in the post-liberalization period.
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Bibliographic InfoPaper provided by Center for Quantitative Economics (CQE), University of Muenster in its series CQE Working Papers with number 0709.
Length: 28 pages
Date of creation: Oct 2009
Date of revision:
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Postal: Am Stadtgraben 9, 48143 Münster, Germany
Web page: http://www1.wiwi.uni-muenster.de/cqe/
More information through EDIRC
Institutional Investors; Individual Investors; Stock Return Seasonalities; Chinese Stock Markets; GARCH Model;
Other versions of this item:
- Bohl, Martin T. & Schuppli, Michael & Siklos, Pierre L., 2010. "Stock return seasonalities and investor structure: Evidence from China's B-share markets," China Economic Review, Elsevier, vol. 21(1), pages 190-201, March.
- Bohl, Martin T. & Schuppli, Michael & Siklos, Pierre L., 2009. "Stock return seasonalities and investor structure: Evidence from China's B-share markets," BOFIT Discussion Papers 20/2009, Bank of Finland, Institute for Economies in Transition.
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-12-11 (All new papers)
- NEP-CFN-2009-12-11 (Corporate Finance)
- NEP-FMK-2009-12-11 (Financial Markets)
- NEP-TRA-2009-12-11 (Transition Economics)
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