Provincial co-movement in Chinese stock returns
Stock returns in China exhibit significant co-movement with provincial return indices after controlling for the industry effect, consistent with local co-movement findings in the United States. The magnitude of such co-movement increases with participation in trading by local investors. Trading activities of individual stocks also co-vary with provincial volume. The last two findings support the roles of investor behaviour in explaining the local return co-movement phenomenon.
Year of publication: |
2008
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Authors: | Wongchoti, Udomsak ; Wu, Fei |
Published in: |
Applied Financial Economics Letters. - Taylor and Francis Journals, ISSN 1744-6546. - Vol. 4.2008, 3, p. 171-176
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Publisher: |
Taylor and Francis Journals |
Saved in:
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