Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia

Jianping Mei, Jose Scheinkman () and Wei Xiong

No 11362, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: The market dynamics of technology stocks in the late nineties has stimulated a growing body of theories that analyze the joint effects of short-sales constraints and heterogeneous beliefs on stock prices and trading volume. This paper examines implications of these theories using a unique data sample from China, a market with stringent short-sales constraints and perfectly segmented dual-class shares. The identical rights of the dual-class shares allow us to control for stock fundamentals. We find that trading caused by investors' speculative motive can help explain a significant fraction of the price difference between the dual-class shares.

JEL-codes: G0 G1 F3 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin and nep-sea
Date: Written
Note: AP
View list of references View citations in EconPapers

Downloads: (external link)
http://www.nber.org/papers/w11362.pdf (application/pdf)
Access to the full text is generally limited to series subscribers, however if the top level domain of the client browser is in a developing country or transition economy free access is provided. More information about subscriptions and free access is available at http://www.nber.org/wwphelp.html.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:nbr:nberwo:11362

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w11362
The price is Paper copy available by mail.

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc
Address: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.
Contact information at EDIRC.
Series data maintained by ().