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Investor sentiment and limits of arbitrage: Evidence from Chinese stock market

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  • Tan, Xiaoyu
  • Zhang, Zili
  • Zhao, Xuejun
  • Wang, Chengxiang

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  • Tan, Xiaoyu & Zhang, Zili & Zhao, Xuejun & Wang, Chengxiang, 2021. "Investor sentiment and limits of arbitrage: Evidence from Chinese stock market," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 577-595.
    • Handle: RePEc:eee:reveco:v:75:y:2021:i:c:p:577-595
    DOI: 10.1016/j.iref.2021.04.009
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    Cited by:

    1. Xiaoyu Tan & Zili Zhang & Xuejun Zhao & Shuyi Wang, 2022. "DeepPricing: pricing convertible bonds based on financial time-series generative adversarial networks," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-38, December.
    2. Chen, Jian & Haboub, Ahmad & Khan, Ali, 2024. "Limits of arbitrage and their impact on market efficiency: Evidence from China," Global Finance Journal, Elsevier, vol. 59(C).

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    More about this item

    Keywords

    Investor sentiment; Limits of arbitrage; Overnight returns; Chinese stock market;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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