Stock return seasonalities and investor structure: Evidence from China's B-share markets

Martin T. Bohl, Michael Schuppli and Pierre Siklos

No 20/2009, BOFIT Discussion Papers from Bank of Finland Institute for Emerging Economies (BOFIT)

Abstract: 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.

Keywords: institutional investors; individual investors; stock return seasonalities; Chinese stock markets; GARCH model (search for similar items in EconPapers)
JEL-codes: G12 G14 G18 (search for similar items in EconPapers)
Date: 2009
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https://www.econstor.eu/bitstream/10419/212664/1/bofit-dp2009-020.pdf (application/pdf)

Related works:
Journal Article: Stock return seasonalities and investor structure: Evidence from China's B-share markets (2010)
Working Paper: Stock Return Seasonalities and Investor Structure: Evidence from China’s B-Share Markets (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:bofitp:bdp2009_020

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