 Smart money in China's A-share market: Evidence from big dataZhenhua Chen, Zhenya Liu, Hanen Teka and Yifan Zhang Research in International Business and Finance, 2022, vol. 61, issue C Abstract: In this study, we propose a bar-level tracker of smart money trades by detecting the trading aggressiveness of informed traders. Accordingly, we define monthly smart money measures to identify the direction of informed trades. By using the 1-min transaction data in China’s A-share market from 1999 to 2019, we find a negative cross-sectional relationship between the smart money measures and stock future returns. We construct smart money strategies based on the fuzzy c-means (FCM) clustering algorithm, wherein the optimal strategy produces an annual Sharpe ratio of 1.169. Our findings indicate that the FCM-based portfolio formation could outperform the conventional sorting-based strategies. This study may be useful for research on smart money trades and the analysis of cross-sectional variation in returns. Keywords: China’s A-share; Smart money; Trading aggressiveness; Fuzzy c-means clustering (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:61:y:2022:i:c:s0275531922000514 DOI: 10.1016/j.ribaf.2022.101663 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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