Ownership Restriction, Information Diffusion Speed, and the Performance of Technical Trading Rules in Chinese Domestic and Foreign Shares Markets
Author
Abstract
Suggested Citation
DOI: 10.1142/S0219091507001215
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Jianping Mei & Jose A. Scheinkman & Wei Xiong, 2009.
"Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia,"
Annals of Economics and Finance, Society for AEF, vol. 10(2), pages 225-255, November.
- Jianping Mei & Jose Scheinkman & Wei Xiong, 2005. "Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia," NBER Working Papers 11362, National Bureau of Economic Research, Inc.
- Jianping Mei & Jose A. Scheinkman & Wei Xiong, 2009. "Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia," CEMA Working Papers 504, China Economics and Management Academy, Central University of Finance and Economics.
- Jianping Mei & Jose Scheinkman & Wei Xiong, 2005. "Speculative Trading and Stock Prices: An Analysis of Chinese A-B Share Premia," Levine's Bibliography 122247000000000867, UCLA Department of Economics.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Valentina Galvani & Stuart Landon, 2013.
"Riding the yield curve: a spanning analysis,"
Review of Quantitative Finance and Accounting, Springer, vol. 40(1), pages 135-154, January.
- Galvani, Valentina & Landon, Stuart, 2011. "Riding the Yield Curve: A Spanning Analysis," Working Papers 2011-19, University of Alberta, Department of Economics.
- Ansari Saleh Ahmar, 2019. "Sutte Indicator: an approach to predict the direction of stock market movements," Papers 1903.11642, arXiv.org.
- Ansari Saleh Ahmar, 2017. "Sutte Indicator: A Technical Indicator in Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 7(2), pages 223-226.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Schuppli, Michael & Bohl, Martin T., 2010. "Do foreign institutional investors destabilize China's A-share markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(1), pages 36-50, February.
- Michael Schuppli & Martin T. Bohl, 2009. "Do Foreign Institutional Investors Destabilize China’s A-Share Markets?," CQE Working Papers 0909, Center for Quantitative Economics (CQE), University of Muenster.
- Bohl, Martin T. & Schuppli, Michael & Siklos, Pierre L., 2010.
"Stock return seasonalities and investor structure: Evidence from China's B-share markets,"
China Economic Review, Elsevier, vol. 21(1), pages 190-201, March.
- Bohl, Martin T. & Schuppli, Michael & Siklos, Pierre L., 2009. "Stock return seasonalities and investor structure: Evidence from China's B-share markets," BOFIT Discussion Papers 20/2009, Bank of Finland Institute for Emerging Economies (BOFIT).
- Martin T. Bohl & Michael Schuppli & Pierre L. Siklos, 2009. "Stock Return Seasonalities and Investor Structure: Evidence from China’s B-Share Markets," CQE Working Papers 0709, Center for Quantitative Economics (CQE), University of Muenster.
- Wei Xiong & Jialin Yu, 2011.
"The Chinese Warrants Bubble,"
American Economic Review, American Economic Association, vol. 101(6), pages 2723-2753, October.
- Wei Xiong & Jialin Yu, 2009. "The Chinese Warrants Bubble," NBER Working Papers 15481, National Bureau of Economic Research, Inc.
- Fan, Di & Liang, Tianheng & Yeung, Andy C.L. & Zhang, Haomin, 2020. "The impact of capacity-reduction initiatives on the stock market value of Chinese manufacturing firms," International Journal of Production Economics, Elsevier, vol. 223(C).
- Lilian Ng & Fei Wu, 2010. "Peer Effects in the Trading Decisions of Individual Investors," Financial Management, Financial Management Association International, vol. 39(2), pages 807-831, June.
- Bohl, Martin T. & Schuppli, Michael & Siklos, Pierre L., 2010.
"Stock return seasonalities and investor structure: Evidence from China's B-share markets,"
China Economic Review, Elsevier, vol. 21(1), pages 190-201, March.
- Martin T. Bohl & Michael Schuppli & Pierre L. Siklos, 2009. "Stock Return Seasonalities and Investor Structure: Evidence from China’s B-Share Markets," CQE Working Papers 0709, Center for Quantitative Economics (CQE), University of Muenster.
- Bohl, Martin T. & Schuppli, Michael & Siklos, Pierre L., 2009. "Stock return seasonalities and investor structure : Evidence from China's B-share markets," BOFIT Discussion Papers 20/2009, Bank of Finland, Institute for Economies in Transition.
- Changjiang Lu & Kemin Wang & Haiwei Chen & James Chong, 2007. "Integrating A- and B-Share Markets in China: The Effects of Regulatory Policy Changes on Market Efficiency," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 10(03), pages 309-328.
- Odegaard, Bernt Arne, 2007. "Price differences between equity classes. Corporate control, foreign ownership or liquidity?," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3621-3645, December.
- Burdekin, Richard C.K. & Redfern, Luke, 2009. "Sentiment effects on Chinese share prices and savings deposits: The post-2003 experience," China Economic Review, Elsevier, vol. 20(2), pages 246-261, June.
- Chen, Jun & Tian, Gaoliang & Yang, Fan, 2020. "Individual investors' propensity to speculate and A-share premiums in China's A-shares and H-shares," Emerging Markets Review, Elsevier, vol. 43(C).
- Mehmet Fatih Öztek & Nadir Öcal, 2016. "The effects of domestic and international news and volatility on integration of Chinese stock markets with international stock markets," Empirical Economics, Springer, vol. 50(2), pages 317-360, March.
- Li, Yuan & Ran, Jimmy, 2020. "Investor Sentiment and Stock Price Premium Validation with Siamese Twins from China," Journal of Multinational Financial Management, Elsevier, vol. 57.
- Tong, Wilson H.S. & Yu, Wayne W., 2012. "A corporate governance explanation of the A-B share discount in China," Journal of International Money and Finance, Elsevier, vol. 31(2), pages 125-147.
- repec:zbw:bofitp:2009_020 is not listed on IDEAS
- Yuan Li & Yu Zhang, 2021. "Investor Sentiment, Idiosyncratic Risk, and Stock Price Premium: Evidence From Chinese Cross-Listed Companies," SAGE Open, , vol. 11(2), pages 21582440211, June.
- Fong, Wai Mun, 2009. "Speculative trading and stock returns: A stochastic dominance analysis of the Chinese A-share market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(4), pages 712-727, October.
- Pinheiro, Marcelo, 2008. "Overinvestment and fraud," Journal of Mathematical Economics, Elsevier, vol. 44(5-6), pages 484-512, April.
- Wang, Peipei & Wen, Yuanji & Singh, Harminder, 2017. "The high-volume return premium: Does it exist in the Chinese stock market?," Pacific-Basin Finance Journal, Elsevier, vol. 46(PB), pages 323-336.
- Li, Xiao-Ming, 2017. "New evidence on economic policy uncertainty and equity premium," Pacific-Basin Finance Journal, Elsevier, vol. 46(PA), pages 41-56.
- Ding, Mingfa, 2014. "Political Connections and Stock Liquidity: Political Network, Hierarchy and Intervention," Knut Wicksell Working Paper Series 2014/7, Lund University, Knut Wicksell Centre for Financial Studies.
More about this item
Keywords
Technical trading rules; ownership restriction; information diffusion; non-synchronous trading; transaction costs; JEL Classification: G12; JEL Classification: G14; JEL Classification: G15;All these keywords.
JEL classification:
- G1 - Financial Economics - - General Financial Markets
- G2 - Financial Economics - - Financial Institutions and Services
- G3 - Financial Economics - - Corporate Finance and Governance
Statistics
Access and download statisticsCorrections
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:wsi:rpbfmp:v:10:y:2007:i:04:n:s0219091507001215. 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.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/rpbfmp/rpbfmp.shtml .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.