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Intra-industry information diffusion in China's stock market

Author

Listed:
  • Chi Dong

    (Hebei University)

  • Hooi Hooi Lean

    (Universiti Sains Malaysia)

  • Zamri Ahmad

    (Universiti Sains Malaysia)

Abstract

This study concentrates its attention on the China stock market, and employs the panel data and the time-series data methodologies to explore the occurrence of intra-industry information diffusion. The results show the existence of a gradual occurrence of intra-industry information diffusion in China's stock market, by means of a significant lead-lag relationship between big firms and small firms. This paper further confirms that gradual information diffusion actually appears within an industry rather than across the different industries of a national entity. We also respectively analyze a number of individual industries with different suitable lag lengths. We discover a useful finding that fairly predicts according to different industries in China, a wisdom that investors ought to choose some high quality small firms in the appropriate investment timing from the same industry rather than seeking investment opportunities in the whole market, whenever any good common information comes to some big firms. We also use the data from trading volume portfolios to process findings from previous analyses. The results are highly consistent.

Suggested Citation

  • Chi Dong & Hooi Hooi Lean & Zamri Ahmad, 2017. "Intra-industry information diffusion in China's stock market," Economics Bulletin, AccessEcon, vol. 37(1), pages 1-11.
    • Handle: RePEc:ebl:ecbull:eb-16-00823
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    References listed on IDEAS

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    More about this item

    Keywords

    information diffusion; intra-industry; China stock market;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services

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