Information-Based Trade in the Shanghai Stock Market

23 Pages Posted: 10 Mar 2008 Last revised: 23 Jul 2009

See all articles by Laurence Copeland

Laurence Copeland

Cardiff University - Cardiff Business School

Woon K. Wong

IMRU, Cardiff Business School

Yong Zeng

University of Electronic Science and Technology of China (UESTC)

Date Written: May 4, 2009

Abstract

We show that the probability of information-based trade (PIN) played a significant role in explaining monthly returns on Shanghai A shares over the period 2001 to 2006. In particular, PIN, as approximated by order imbalance as a proportion of total transactions, appears to explain returns even after controlling for risk in the much-cited Fama and French (1992) three-factor model. However, we also find that some of the PIN effect appears to be indistinguishable from a turnover effect.

JEL Classification: G12, G14, G15

Suggested Citation

Copeland, Laurence S. and Wong, Woon K. and Zeng, Yong, Information-Based Trade in the Shanghai Stock Market (May 4, 2009). Global Finance Journal, Forthcoming. Available at SSRN: https://ssrn.com/abstract=1103275

Laurence S. Copeland

Cardiff University - Cardiff Business School ( email )

Aberconway Building
Colum Drive
Cardiff, CF10 3EU
United Kingdom
+44 29 20875740 (Phone)
+44 29 20874419 (Fax)

Woon K. Wong (Contact Author)

IMRU, Cardiff Business School ( email )

Cardiff CF10 3EU
United Kingdom

Yong Zeng

University of Electronic Science and Technology of China (UESTC) ( email )

No.4, Section 2, North Jianshe Road
Chengdu, Chengdu
China

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