Research of the Informed Trading Probability Monthly Effect in Chinese Stock Market

Jia-yi Li () and Zhen-ming Fang
Additional contact information
Jia-yi Li: Tianjin University
Zhen-ming Fang: Tianjin University

A chapter in Proceedings of 2013 4th International Asia Conference on Industrial Engineering and Management Innovation (IEMI2013), 2014, pp 361-367 from Springer

Abstract: Abstract Basing on the return rate monthly Effect, the informed trading probability was combined with return rate for research in sight of market structure, and percentage monthly risk-adjusted return using Fama and French three-factor model, regressing the multi-factor on two-stage. PIN of September is the lowest in the year, showing negative relationship with percentage monthly return, the result is different with empirical results in foreign market. Impact factors for PIN monthly effect are analyzed including size of company, liquidity risk.

Keywords: Fama-French three-factor model; Informed trading probability; Liquidity risk; PIN effect (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-642-40060-5_35

Ordering information: This item can be ordered from
http://www.springer.com/9783642400605

DOI: 10.1007/978-3-642-40060-5_35

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().