Where are the fundamental traders? A model application based on the Shanghai Stock Exchange

Yun Pu and Carl Zulauf

Emerging Markets Review, 2021, vol. 49, issue C

Abstract: This study develops a model to disaggregate traders into categories based on their strategic approach to (fundamental versus technical) and perception about future price trends. Testing the model with data from the Shanghai Stock Exchange (SSE), the study finds a minimal presence of fundamental traders. However, model estimation reveals that the SSE is weak-form efficient as technical traders do not earn abnormal profits.

Keywords: Stock market; Momentum trader; Weak form efficiency; Static micro-financial economics; Market microstructure (search for similar items in EconPapers)
JEL-codes: D53 G10 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:49:y:2021:i:c:s1566014119301062

DOI: 10.1016/j.ememar.2020.100775

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