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 environment. We show that day-of-the-week effects 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 addition, we find evidence of reduced index return autocorrelation and US spillover effects in the post-liberalization period.
Download InfoIf 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.
Bibliographic InfoPaper provided by Bank of Finland, Institute for Economies in Transition in its series BOFIT Discussion Papers with number 20/2009.
Length: 37 pages
Date of creation: 30 Oct 2009
Date of revision:
Contact details of provider:
Postal: Bank of Finland, BOFIT, P.O. Box 160, FI-00101 Helsinki, Finland
Phone: + 358 10 831 2268
Fax: + 358 10 831 2294
Web page: http://www.suomenpankki.fi/bofit_en/
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.
- Martin T. Bohl & Michael Schuppli & Pierre L. Siklos, 2009. "Stock Return Seasonalities and Investor Structure: Evidence from China’s B-Share Markets," CQE Working Papers 0709, Center for Quantitative Economics (CQE), University of Muenster.
- 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:
You can help add them by filling out this form.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Päivi Määttä).
If references are entirely missing, you can add them using this form.