Stock return seasonalities and investor structure : Evidence from China's B-share markets
Bohl, Martin T.; Schuppli, Michael; Siklos, Pierre L. (30.10.2009)
Numero
20/2009Julkaisija
Bank of Finland
2009
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi:bof-201408072197Tiivistelmä
This paper investigates whether seasonalities in daily stock returns are related to the trading behavior of individual and institutional investors. The change in the investor structure of B-share markets in Shanghai and Shenzhen after the abolition of ownership restrictions in 2001 provides a unique testing environment. We show that day-of-the-week effects are attenuated after the market entrance of Chinese individual investors, who had previously not been allowed to trade in B-shares. Our empirical results suggest that institutional rather than individual investors are a main driving force behind such anomalies. In addition, we find evidence of reduced index return autocorrelation and US spillover effects in the post-liberalization period. Keywords: institutional investors, individual investors, stock return seasonalities, Chinese stock markets, GARCH model JEL: G12, G14, G18
Julkaisuhuomautus
Published in China Economic Review, Volume 21, Issue 1, March 2010: 190–201