Provincial co-movement in Chinese stock returns

Udomsak Wongchoti and Fei Wu

Applied Financial Economics Letters, 2008, vol. 4, issue 3, 171-176

Abstract: Stock returns in China exhibit significant co-movement with provincial return indices after controlling for the industry effect, consistent with local co-movement findings in the United States. The magnitude of such co-movement increases with participation in trading by local investors. Trading activities of individual stocks also co-vary with provincial volume. The last two findings support the roles of investor behaviour in explaining the local return co-movement phenomenon.

Date: 2008
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DOI: 10.1080/17446540701689409

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