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 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.
Year of publication: |
2010
|
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Authors: | Bohl, Martin T. ; Schuppli, Michael ; Siklos, Pierre L. |
Published in: |
China Economic Review. - Elsevier, ISSN 1043-951X. - Vol. 21.2010, 1, p. 190-201
|
Publisher: |
Elsevier |
Keywords: | Institutional investors Individual investors Stock return seasonalities Chinese stock markets GARCH model |
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