Wilfrid Laurier University - School of Business & Economics
August 22, 2008
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 hand evidence of reduced index return auto-correlation and US spillover effects in the post-liberalization period.
Siklos, Pierre L., Stock Return Seasonalities and Investor Structure: Evidence From
China's B-Share Market (August 22, 2008). Available at SSRN: http://ssrn.com/abstract=1316609 or http://dx.doi.org/10.2139/ssrn.1316609
Pierre L. Siklos (Contact Author)
Wilfrid Laurier University - School of Business & Economics ( email )
Department of Economics 75 University Avenue W. Waterloo, Ontario N2L 3C5 Canada 519-884-0710 Ext. 2559 (Phone) 519-888-1015 (Fax)