BOFIT Discussion Papers, Institute for Economies in Transition, Bank of Finland
No 20/2009:
Stock return seasonalities and investor structure: Evidence from China's B-share markets
Martin T. Bohl ()
, Michael Schuppli and Pierre L. Siklos
Abstract: 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; (follow links to similar papers)
JEL-Codes: G12; G14; G18; (follow links to similar papers)
37 pages, October 30, 2009
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