Stock Return Seasonalities and Investor Structure: Evidence from China's B-Share Markets

37 Pages Posted: 8 Dec 2009

See all articles by Martin T. Bohl

Martin T. Bohl

University of Muenster

Michael Schuppli

University of Muenster

Pierre L. Siklos

Wilfrid Laurier University - School of Business & Economics; Balsillie school of international affairs

Date Written: October 28, 2009

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

JEL Classification: G12, G14, G18

Suggested Citation

Bohl, Martin T. and Schuppli, Michael and Siklos, Pierre L., Stock Return Seasonalities and Investor Structure: Evidence from China's B-Share Markets (October 28, 2009). BOFIT Discussion Paper No. 20/2009, Available at SSRN: https://ssrn.com/abstract=1496338 or http://dx.doi.org/10.2139/ssrn.1496338

Martin T. Bohl (Contact Author)

University of Muenster ( email )

Schlossplatz 2
D-48149 Muenster, D-48149
Germany

Michael Schuppli

University of Muenster ( email )

Schlossplatz 2
Muenster, D-48149
Germany

Pierre L. Siklos

Wilfrid Laurier University - School of Business & Economics ( email )

Department of Economics
75 University Avenue W.
Waterloo, Ontario N2L 3C5
Canada
519-884-0710 Ext.. 3491 (Phone)

HOME PAGE: http://pierrelsiklos.com

Balsillie school of international affairs ( email )

67 Erb Street West
Waterloo, ON N2L 6C2
Canada

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