Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia
Jose Scheinkman and
Wei Xiong ()
Annals of Economics and Finance, 2009, vol. 10, issue 2, 225-255
The market dynamics of technology stocks in the late 1990s have stimulated a growing body of theory that analyzes the joint effects of short-sales constraints and heterogeneous beliefs on stock prices and trading volume. This paper examines several implications of these theories using a unique data sample from 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 motives can help explain a significant fraction of the price difference between the dual-class shares.
Keywords: Speculative bubble; Trading volume (search for similar items in EconPapers)
JEL-codes: G12 G15 (search for similar items in EconPapers)
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Working Paper: Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia (2009)
Working Paper: Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:cuf:journl:y:2009:v:10:i:2:p:225-255
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