Provincial Co-Movement in Chinese Stock Returns

Applied Financial Economics Letters, Forthcoming

15 Pages Posted: 24 Jan 2007 Last revised: 30 Jan 2009

See all articles by Udomsak Wongchoti

Udomsak Wongchoti

Massey University - School of Economics and Finance

Fei Wu

Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)

Date Written: January 1, 2007

Abstract

Stock returns in China exhibit significant co-movement with provincial return indices after controlling for the industry effect, consistent with local co-movement findings in the United States. The magnitude of such co-movement increases with participation in trading by local investors. Trading activities of individual stocks also co-vary with provincial volume. The last two findings support the roles of investor behavior in explaining the local return co-movement phenomenon.

Keywords: Local return co-movement, Chinese market, behavioral explanation

JEL Classification: G12, G15

Suggested Citation

Wongchoti, Udomsak and Wu, Fei, Provincial Co-Movement in Chinese Stock Returns (January 1, 2007). Applied Financial Economics Letters, Forthcoming, Available at SSRN: https://ssrn.com/abstract=959037 or http://dx.doi.org/10.2139/ssrn.959037

Udomsak Wongchoti (Contact Author)

Massey University - School of Economics and Finance ( email )

Private Bag 11-222
Palmerston North, 30974
New Zealand

Fei Wu

Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) ( email )

Shanghai Jiao Tong University
211 West Huaihai Road
Shanghai, 200030
China

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
92
Abstract Views
832
rank
346,430
PlumX Metrics