The Informational Role of Stock and Warrant Trades: Empirical Evidence from China
Chongfeng Wu and
Li Yang ()
Emerging Markets Finance and Trade, 2011, vol. 47, issue 0, 78-93
This paper analyzes intraday interdependence of returns and trades between Chinese equity and warrants markets based on a vector autoregression framework proposed by Chan et al. (2002). We find that both stock and warrant trades contain useful information for revealing quotes in the stock and warrants markets using 60- and 100-second data frequencies. However, when the data frequency is reduced from 100 seconds to 5 minutes, we find that stock volume has a negative impact on contemporaneous stock returns, which contradicts the informational effect of stock-trading activities.
Keywords: Chinese market; informed trading; warrant volume (search for similar items in EconPapers)
References: Add references at CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:mes:emfitr:v:47:y:2011:i:0:p:78-93
Ordering information: This journal article can be ordered from
Access Statistics for this article
More articles in Emerging Markets Finance and Trade from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().