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

Martin T. Bohl, Michael Schuppli and Pierre Siklos

China Economic Review, 2010, vol. 21, issue 1, 190-201

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)
Date: 2010
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Citations: View citations in EconPapers (8)

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Related works:
Working Paper: Stock Return Seasonalities and Investor Structure: Evidence from China’s B-Share Markets (2009)
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:eee:chieco:v:21:y:2010:i:1:p:190-201

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