Stock Return Seasonalities and Investor Structure: Evidence from China’s B-Share Markets
Martin T. Bohl,
Michael Schuppli and
Pierre Siklos ()
No 709, CQE Working Papers from Center for Quantitative Economics (CQE), University of Muenster
This paper investigates whether seasonalities in daily stock returns are related to the trading behavior of individual and institutional investors. The change in the investor structure of B-share markets in Shanghai and Shenzhen after the abolition of ownership restrictions in 2001 provides a unique testing environ- ment. We show that day-of-the-week e ects are attenuated after the market entrance of Chinese individual investors who had previously not been allowed to trade in B-shares. Our empirical results suggest that institutional rather than individual investors are a main driving force behind such anomalies. In addi- tion, we nd evidence of reduced index return autocorrelation and US spillover e ects in the post-liberalization period.
Keywords: Institutional Investors; Individual Investors; Stock Return Seasonalities; Chinese Stock Markets; GARCH Model (search for similar items in EconPapers)
JEL-codes: G12 G14 G18 (search for similar items in EconPapers)
Pages: 28 pages
New Economics Papers: this item is included in nep-cfn, nep-fmk and nep-tra
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https://www.wiwi.uni-muenster.de/cqe/sites/cqe/files/CQE_Paper/CQE_WP_7_2009.pdf Version of October, 2009 (application/pdf)
Journal Article: Stock return seasonalities and investor structure: Evidence from China's B-share markets (2010)
Working Paper: Stock return seasonalities and investor structure: Evidence from China's B-share markets (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:cqe:wpaper:0709
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