Information-based trade in the Shanghai stock market

Laurence Copeland (), Woon K. Wong and Yong Zeng

Global Finance Journal, 2009, vol. 20, issue 2, 180-190

Abstract: We show that the probability of information-based trade (PIN) played a significant role in explaining monthly returns on Shanghai A shares over the period 2001 to 2006. In particular, PIN, as approximated by order imbalance as a proportion of total transactions, appears to explain returns even after controlling for risk in the much-cited Fama and French [Fama, E. F. & French, K. R. (1992). The Cross-Section of Expected Stock Returns. Journal of Finance, XLVII, 427-465.] three-factor model. However, we also find that some of the PIN effect appears to be indistinguishable from a turnover effect.

Keywords: Information-based; trade; Asset; pricing; Shanghai; Stock; Exchange (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Working Paper: Information-Based Trade in the Shanghai StockMarket (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:20:y:2009:i:2:p:180-190

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