Holding Periods, Illiquidity, and Disposition Effect in the Chinese Stock Markets

Posted: 26 Jan 2013 Last revised: 18 Jan 2017

See all articles by Nuttawat Visaltanachoti

Nuttawat Visaltanachoti

Massey University - Department of Economics and Finance

Hang (Robin) Luo

Xihua University

Lin Lu

Massey University

Date Written: September 28, 2007

Abstract

This article examines the relation between average holding periods, stock illiquidity and investors’ disposition effects in the Chinese stock markets between 1996 and 2003. The results show that Chinese investors’ holding periods are longer for illiquid stocks and are inversely associated with past stock returns. Both relations are prevalent in the Shanghai and the Shenzhen A-share stock markets, which are dominated by individual investors. Nonetheless, relatively weak evidence is found in regards to the disposition effect in the B-shares markets, which are dominated by institutional investors.

Suggested Citation

Visaltanachoti, Nuttawat and Luo, Hang (Robin) and Lu, Lin, Holding Periods, Illiquidity, and Disposition Effect in the Chinese Stock Markets (September 28, 2007). Applied Financial Economics, Vol. 17, No. 15, 2007, Available at SSRN: https://ssrn.com/abstract=2206756

Nuttawat Visaltanachoti

Massey University - Department of Economics and Finance ( email )

School of Economics and Finance
Private Bag 102904, NSMC
Auckland
New Zealand
64 9 414 0800 (43169) (Phone)
64 9 441 8177 (Fax)

Hang (Robin) Luo (Contact Author)

Xihua University

School of Economics
Xihua University
Chengdu, SIchuan 610039
China

Lin Lu

Massey University ( email )

Private Bag 11 222
Palmerston North
New Zealand

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