Chinese stock anomalies and investor sentiment

Chunmao Han and Yongdong Shi

Pacific-Basin Finance Journal, 2022, vol. 73, issue C

Abstract: This paper studies 62 cross-sectional anomalies in the Chinese market and the effects of sentiment on them. We find that the anomalies in the trading frictions category are the most pronounced. Unlike the anomaly returns in the U.S. market, the anomaly returns have no publication effect. Rather, they increase over time with the trend of investor sentiment. The high proportion of retail investors makes investor sentiment play an important role in the Chinese market. Investor sentiment drives the wave of anomaly returns, and anomaly returns are higher during periods of higher sentiment. Investor sentiment has predictive power on anomaly returns.

Keywords: Chinese market; Anomalies; Trading frictions; Time effect; Limits to arbitrage; Sentiment (search for similar items in EconPapers)
JEL-codes: G12 G14 G23 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:73:y:2022:i:c:s0927538x22000348

DOI: 10.1016/j.pacfin.2022.101739

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