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Stock Return Seasonalities and Investor Structure: Evidence from China’s B-Share Markets

Listed author(s):
  • Martin T. Bohl
  • Michael Schuppli
  • Pierre L. Siklos

This paper investigates whether seasonalities in daily stock returns are related to the trading behavior of individual and institutional investors. The change in the investor structure of B-share markets in Shanghai and Shenzhen after the abolition of ownership restrictions in 2001 provides a unique testing environ- ment. We show that day-of-the-week e ects are attenuated after the market entrance of Chinese individual investors who had previously not been allowed to trade in B-shares. Our empirical results suggest that institutional rather than individual investors are a main driving force behind such anomalies. In addi- tion, we nd evidence of reduced index return autocorrelation and US spillover e ects in the post-liberalization period.

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File URL: https://www.wiwi.uni-muenster.de/cqe/sites/cqe/files/CQE_Paper/CQE_WP_7_2009.pdf
File Function: Version of October, 2009
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Paper provided by Center for Quantitative Economics (CQE), University of Muenster in its series CQE Working Papers with number 0709.

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Length: 28 pages
Date of creation: Oct 2009
Handle: RePEc:cqe:wpaper:0709
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