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Chinese stock anomalies and investor sentiment

Author

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  • Han, Chunmao
  • Shi, Yongdong

Abstract

This paper studies 62 cross-sectional anomalies in the Chinese market and the effects of sentiment on them. We find that the anomalies in the trading frictions category are the most pronounced. Unlike the anomaly returns in the U.S. market, the anomaly returns have no publication effect. Rather, they increase over time with the trend of investor sentiment. The high proportion of retail investors makes investor sentiment play an important role in the Chinese market. Investor sentiment drives the wave of anomaly returns, and anomaly returns are higher during periods of higher sentiment. Investor sentiment has predictive power on anomaly returns.

Suggested Citation

  • Han, Chunmao & Shi, Yongdong, 2022. "Chinese stock anomalies and investor sentiment," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
    • Handle: RePEc:eee:pacfin:v:73:y:2022:i:c:s0927538x22000348
    DOI: 10.1016/j.pacfin.2022.101739
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    References listed on IDEAS

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    Cited by:

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    3. Liu, Xufeng & Wan, Die, 2023. "Retail investor trading and ESG pricing in China," Research in International Business and Finance, Elsevier, vol. 65(C).

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    More about this item

    Keywords

    Chinese market; Anomalies; Trading frictions; Time effect; Limits to arbitrage; Sentiment;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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