 Speculative dynamics and price behavior in the Shanghai Stock ExchangeDimitrios Koutmos and Wei Song Research in International Business and Finance, 2014, vol. 31, issue C, 74-86 Abstract: This article examines the extent to which the trading behavior of heterogeneous investors manifests in stock price changes of asset portfolios which constitute the Shanghai Stock Exchange. There are three major findings that materialize. Firstly, reliable statistical evidence of a negative relation between the conditional first and second moments of the return distributions of stock prices lends support to the volatility feedback effect. Secondly, ‘feedback’, or momentum-type investors, are not present in this market as is often detected from the daily price changes of other industrialized markets. Finally, trade volume as a proxy for ‘information-driven’ trading suggests that such investors play a statistically significant role in stock price movements. Parameter estimates from this latter group of investors imply that a rise in stock prices from a high volume trading day is more likely than a rise resulting from a low volume trading day. Keywords: Shanghai Stock Exchange; Heterogeneous investors; Volatility feedback; Range volatility; Intertemporal capital asset pricing model; Trade volume (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:31:y:2014:i:c:p:74-86 DOI: 10.1016/j.ribaf.2013.11.006 Access Statistics for this article Research in International Business and Finance is currently edited by T. Lagoarde Segot More articles in Research in International Business and Finance from Elsevier |
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