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...

This article studies the effects of speculation in a thinly traded commodity futures market, paying particular attention to periods characterized by high-speculative activity of long–short speculators. Using the speculation ratio as a daily measure for long–short speculation, we employ...