IDEAS home Printed from https://ideas.repec.org/a/spt/apfiba/v5y2015i4f5_4_9.html
   My bibliography  Save this article

Price Volatility, Information and Noise Trading: Evidence from Chinese Stock Markets

Author

Listed:
  • Johnny K. H. Kwok

Abstract

In China, domestic firms can issue A- and B-shares. Before Feb 2001, Domestic investors can only invest A-shares while foreign investors can only trade B-shares. This paper makes use of this special feature in testing information and trading noise hypotheses. We find that A-share prices are more volatile than B-share prices even though they are issued by the same companies and are traded in the same stock market. We further find that A-share prices are much more volatile only during the daytime (trading) period while it is less volatile for A-share prices than B-shares prices during the overnight (nontrading) period in China. Since individual investors dominate A-share markets while foreign institutional investors dominate B-share markets, the results are consistent with the conjecture that the higher volatility of A-shares is attributed to the noise trading by domestic investors.

Suggested Citation

  • Johnny K. H. Kwok, 2015. "Price Volatility, Information and Noise Trading: Evidence from Chinese Stock Markets," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 5(4), pages 1-9.
    • Handle: RePEc:spt:apfiba:v:5:y:2015:i:4:f:5_4_9
    as

    Download full text from publisher

    File URL: http://www.scienpress.com/Upload/JAFB%2fVol%205_4_9.pdf
    Download Restriction: no
    ---><---

    More about this item

    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:spt:apfiba:v:5:y:2015:i:4:f:5_4_9. 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: Eleftherios Spyromitros-Xioufis (email available below). General contact details of provider: http://www.scienpress.com/ .

    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.