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Research of the Informed Trading Probability Monthly Effect in Chinese Stock Market

In: Proceedings of 2013 4th International Asia Conference on Industrial Engineering and Management Innovation (IEMI2013)

Author

Listed:
  • Jia-yi Li

    (Tianjin University)

  • Zhen-ming Fang

    (Tianjin University)

Abstract

Basing on the return rate monthly Effect, the informed trading probability was combined with return rate for research in sight of market structure, and percentage monthly risk-adjusted return using Fama and French three-factor model, regressing the multi-factor on two-stage. PIN of September is the lowest in the year, showing negative relationship with percentage monthly return, the result is different with empirical results in foreign market. Impact factors for PIN monthly effect are analyzed including size of company, liquidity risk.

Suggested Citation

  • Jia-yi Li & Zhen-ming Fang, 2014. "Research of the Informed Trading Probability Monthly Effect in Chinese Stock Market," Springer Books, in: Ershi Qi & Jiang Shen & Runliang Dou (ed.), Proceedings of 2013 4th International Asia Conference on Industrial Engineering and Management Innovation (IEMI2013), edition 127, pages 361-367, Springer.
    • Handle: RePEc:spr:sprchp:978-3-642-40060-5_35
    DOI: 10.1007/978-3-642-40060-5_35
    as

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