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