Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/212664 
Erscheinungsjahr: 
2009
Schriftenreihe/Nr.: 
BOFIT Discussion Papers No. 20/2009
Verlag: 
Bank of Finland, Institute for Economies in Transition (BOFIT), Helsinki
Zusammenfassung: 
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.
Schlagwörter: 
institutional investors
individual investors
stock return seasonalities
Chinese stock markets
GARCH model
JEL: 
G12
G14
G18
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-952-462-995-9
Dokumentart: 
Working Paper

Datei(en):
Datei
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