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Holding periods, illiquidity and disposition effect in the Chinese stock markets

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  • Nuttawat Visaltanachoti
  • Hang Luo
  • Lin Lu

Abstract

This article examines the relation between average holding periods, stock illiquidity and investors' disposition effects in the Chinese stock markets between 1996 and 2003. The results show that Chinese investors' holding periods are longer for illiquid stocks and are inversely associated with past stock returns. Both relations are prevalent in the Shanghai and the Shenzhen A-share stock markets, which are dominated by individual investors. Nonetheless, relatively weak evidence is found in regards to the disposition effect in the B-shares markets, which are dominated by institutional investors.

Suggested Citation

  • Nuttawat Visaltanachoti & Hang Luo & Lin Lu, 2007. "Holding periods, illiquidity and disposition effect in the Chinese stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 17(15), pages 1265-1274.
  • Handle: RePEc:taf:apfiec:v:17:y:2007:i:15:p:1265-1274
    DOI: 10.1080/09603100600905053
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    Cited by:

    1. Marina Nikiforow, 2010. "Does training on behavioural finance influence fund managers' perception and behaviour?," Applied Financial Economics, Taylor & Francis Journals, vol. 20(7), pages 515-528.
    2. repec:taf:oaefxx:v:5:y:2017:i:1:p:1289656 is not listed on IDEAS
    3. Marco Pleßner, 2017. "The disposition effect: a survey," Management Review Quarterly, Springer;Vienna University of Economics and Business, vol. 67(1), pages 1-30, February.

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