IDEAS home Printed from
   My bibliography  Save this article

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


  • Nuttawat Visaltanachoti
  • Hang Luo
  • Lin Lu


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

    Download full text from publisher

    File URL:
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

    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. Bansal, Avijit & Jacob, Joshy, 2018. "Impact of Price Path on Disposition Bias," IIMA Working Papers WP 2018-10-01, Indian Institute of Management Ahmedabad, Research and Publication Department.
    3. repec:taf:oaefxx:v:5:y:2017:i:1:p:1289656 is not listed on IDEAS
    4. 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.

    More about this item


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:17:y:2007:i:15:p:1265-1274. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Chris Longhurst). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.