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

Abstract: 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
Date: 2009-10
New Economics Papers: this item is included in nep-cfn, nep-fmk and nep-tra
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Citations: View citations in EconPapers (2)

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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)

Related works:
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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