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Provincial co-movement in Chinese stock returns

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  • Udomsak Wongchoti
  • Fei Wu

Abstract

Stock returns in China exhibit significant co-movement with provincial return indices after controlling for the industry effect, consistent with local co-movement findings in the United States. The magnitude of such co-movement increases with participation in trading by local investors. Trading activities of individual stocks also co-vary with provincial volume. The last two findings support the roles of investor behaviour in explaining the local return co-movement phenomenon.

Suggested Citation

  • Udomsak Wongchoti & Fei Wu, 2008. "Provincial co-movement in Chinese stock returns," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 4(3), pages 171-176.
  • Handle: RePEc:taf:apfelt:v:4:y:2008:i:3:p:171-176
    DOI: 10.1080/17446540701689409
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    Cited by:

    1. Fu, Shihe & Shan, Liwei, 2011. "Agglomeration Economies and Local Comovement of Stock Returns," MPRA Paper 31887, University Library of Munich, Germany.
    2. Xindan Li & Bing Zhang, 2013. "Spillover and Cojumps Between the U.S. and Chinese Stock Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 49(S2), pages 23-42, March.
    3. Zhang, Yongjie & Zhang, Yuzhao & Shen, Dehua & Zhang, Wei, 2017. "Investor sentiment and stock returns: Evidence from provincial TV audience rating in China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 288-294.

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