Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia

Jianping Mei, Jose Scheinkman and Wei Xiong

No 11362, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: The market dynamics of technology stocks in the late nineties has stimulated a growing body of theories that analyze the joint effects of short-sales constraints and heterogeneous beliefs on stock prices and trading volume. This paper examines implications of these theories using a unique data sample from China, a market with stringent short-sales constraints and perfectly segmented dual-class shares. The identical rights of the dual-class shares allow us to control for stock fundamentals. We find that trading caused by investors' speculative motive can help explain a significant fraction of the price difference between the dual-class shares.

JEL-codes: F3 G0 G1 (search for similar items in EconPapers)
Date: 2005-05
New Economics Papers: this item is included in nep-fin and nep-sea
Note: AP
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Citations: View citations in EconPapers (33)

Published as Jianping Mei & Jose A. Scheinkman & Wei Xiong, 2009. "Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia," Annals of Economics and Finance, Society for AEF, vol. 10(2), pages 225-255, November.

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Related works:
Journal Article: Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia (2009)
Working Paper: Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia (2009)
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