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The Informational Role of Stock and Warrant Trades: Empirical Evidence from China

Author

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  • Chunyang Zhou
  • Chongfeng Wu
  • Li Yang

Abstract

This paper analyzes intraday interdependence of returns and trades between Chinese equity and warrants markets based on a vector autoregression framework proposed by Chan et al. (2002). We find that both stock and warrant trades contain useful information for revealing quotes in the stock and warrants markets using 60- and 100-second data frequencies. However, when the data frequency is reduced from 100 seconds to 5 minutes, we find that stock volume has a negative impact on contemporaneous stock returns, which contradicts the informational effect of stock-trading activities.

Suggested Citation

  • Chunyang Zhou & Chongfeng Wu & Li Yang, 2011. "The Informational Role of Stock and Warrant Trades: Empirical Evidence from China," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 47(0), pages 78-93, January.
    • Handle: RePEc:mes:emfitr:v:47:y:2011:i:0:p:78-93
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    Citations

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    Cited by:

    1. Chung, Huimin & Gao, Cheng & Lu, Jie & Mizrach, Bruce, 2013. "An empirical analysis of the Shanghai and Shenzhen limit order books," Economic Modelling, Elsevier, vol. 34(C), pages 37-41.
    2. Yue, Tian & Zhang, Jin E. & Tan, Eric K.M., 2020. "The Chinese equity index options market," Emerging Markets Review, Elsevier, vol. 45(C).
    3. Jayasuriya, Shamila A., 2011. "Stock market correlations between China and its emerging market neighbors," Emerging Markets Review, Elsevier, vol. 12(4), pages 418-431.

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