ID | 093853 |
Title Proper | Stock return seasonalities and investor structure |
Other Title Information | evidence from China's B-share markets |
Language | ENG |
Author | Bohl, Martin T ; Schuppli, Michael ; Siklos, Pierre L |
Publication | 2010. |
Summary / Abstract (Note) | 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 environment. We show that day-of-the-week effects 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 addition, we find evidence of reduced index return autocorrelation and US spillover effects in the post-liberalization period. |
`In' analytical Note | China Economic Review Vol. 21, No. 1; Mar 2010: p.190-201 |
Journal Source | China Economic Review Vol. 21, No. 1; Mar 2010: p.190-201 |
Key Words | Institutional Investors ; Individual Investors ; Stock Return Seasonalities ; Chinese Stock Markets ; GARCH Model |