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Stock market liquidity and trading activity: Is China different?

Rui Ma, Hamish Anderson and Ben Marshall

International Review of Financial Analysis, 2018, vol. 56, issue C, 32-51

Abstract: We study market-wide liquidity and trading activity in China. Trading activity increases in up markets more than in down markets, which is consistent with the disposition effect and the large number of unsophisticated retail investors in China. Whereas, on average, liquidity and trading activity are lower around holidays, more recently, trading activity has been significantly lower before holidays and higher afterward. Aggregate short selling and margin trading activity boost trading activity, but short selling also increases spreads, indicating lower liquidity. We also document the positive effects of other recent regulatory changes and the increased influence of global factors in China.

Keywords: Liquidity; Trading activity; Volume; Stock market; China (search for similar items in EconPapers)
JEL-codes: G12 G15 G18 (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:56:y:2018:i:c:p:32-51

DOI: 10.1016/j.irfa.2017.12.010

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