Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/212664
Authors: 
Bohl, Martin T.
Schuppli, Michael
Siklos, Pierre L.
Year of Publication: 
2009
Series/Report no.: 
BOFIT Discussion Papers No. 20/2009
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.
Subjects: 
institutional investors
individual investors
stock return seasonalities
Chinese stock markets
GARCH model
JEL: 
G12
G14
G18
Persistent Identifier of the first edition: 
ISBN: 
978-952-462-995-9
Document Type: 
Working Paper

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