Information-Based Trade in the Shanghai StockMarket

Laurence Copeland (), Woon Wong () and Y Zeng

No E2008/2, Cardiff Economics Working Papers from Cardiff University, Cardiff Business School, Economics Section

Abstract: We show that the probability of information-based trade (PIN) played a significant role in explaining monthly returns on Shanghai A shares over the period 2001 to 2006. In particular, PIN, as approximated by order imbalance as a proportion of total transactions, appears to explain returns even after controlling for risk in the much-cited Fama and French (1992) three-factor model. However, we also find that some of the PIN effect appears to be indistinguishable from a turnover effect.

Pages: 20 pages
Date: 2008-01
New Economics Papers: this item is included in nep-mst
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Journal Article: Information-based trade in the Shanghai stock market (2009)
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