IDEAS home Printed from https://ideas.repec.org/a/oup/rasset/v14y2024i2p348-380..html
   My bibliography  Save this article

Trend Factor in China: The Role of Large Individual Trading

Author

Listed:
  • Yang Liu
  • Guofu Zhou
  • Yingzi Zhu

Abstract

We propose a novel trend factor for the Chinese stock market that incorporates both price and volume information to capture dominant individual trading, momentum, and liquidity. We find that volume plays a more significant role in the trend factor for China than for the United States, reflecting the greater retail participation in China. By incorporating this trend factor into the 3-factor model of Liu et al. (2019), we propose a 4-factor model that explains a wide range of stylized facts and 60 representative anomalies. Our study highlights the important role of individual trading in asset pricing, especially in China. (JEL G12, G14, G15)

Suggested Citation

  • Yang Liu & Guofu Zhou & Yingzi Zhu, 2024. "Trend Factor in China: The Role of Large Individual Trading," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 14(2), pages 348-380.
  • Handle: RePEc:oup:rasset:v:14:y:2024:i:2:p:348-380.
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1093/rapstu/raae003
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Jiang, Fuwei & Liu, Hongkui & Tang, Guohao & Yu, Jiasheng, 2024. "Global mispricing matters," Journal of International Money and Finance, Elsevier, vol. 147(C).
    2. Jiang, Yifan & Mao, Hanjie & Xiao, Gang & Yang, Shengqi, 2024. "To disclose or not to disclose: Investor sentiment and risk disclosure," Economics Letters, Elsevier, vol. 241(C).
    3. Zhang, Teng & Li, Jiaqi & Xu, Zhiwei, 2024. "Speculative trading, stock returns and asset pricing anomalies," Emerging Markets Review, Elsevier, vol. 61(C).

    More about this item

    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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:oup:rasset:v:14:y:2024:i:2:p:348-380.. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Oxford University Press (email available below). General contact details of provider: https://academic.oup.com/raps .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.