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Where are the fundamental traders? A model application based on the Shanghai Stock Exchange

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  • Pu, Yun
  • Zulauf, Carl

Abstract

This study develops a model to disaggregate traders into categories based on their strategic approach to (fundamental versus technical) and perception about future price trends. Testing the model with data from the Shanghai Stock Exchange (SSE), the study finds a minimal presence of fundamental traders. However, model estimation reveals that the SSE is weak-form efficient as technical traders do not earn abnormal profits.

Suggested Citation

  • Pu, Yun & Zulauf, Carl, 2021. "Where are the fundamental traders? A model application based on the Shanghai Stock Exchange," Emerging Markets Review, Elsevier, vol. 49(C).
    • Handle: RePEc:eee:ememar:v:49:y:2021:i:c:s1566014119301062
    DOI: 10.1016/j.ememar.2020.100775
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    References listed on IDEAS

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    More about this item

    Keywords

    Stock market; Momentum trader; Weak form efficiency; Static micro-financial economics; Market microstructure;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets

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