Suchergebnisse

This book addresses eight issues on behavioral finance and Chinese stock market: the theory of economic agent's self value, Chinese stock market's rapid development and linebreak peculiarities, the momentum and contrarian strategies in Chinese stock market, the highly volatile beta in China's stock market, Chinese stock market's small firm effect and calendar effects, the behavior of Chinese private stock investors, and the relation between the turnover ratio and the market return in Chinese stock market. All these eight issues lie at the current research frontier although some are oriented towards theory and the others towards empirical analysis

This paper reports an empirical analysis of the relationship between return autocorrelation, trading volume and volatility, following the seminal paper by Campbell, Grossman and Wang (1992) using data for A shares traded on the Shanghai and Shenzhen stock exchanges for the period 1992–2002. Campbell et al. argue that autocorrelation of returns will be negatively related to trading volume given that market makers will need to be rewarded with higher returns for accommodating noise traders. For our full sample we find remarkably consistent support for the CGW hypothesis and results — return autocorrelations are negatively but non-linearly related to lagged trading volume and less strongly to volatility. These results are quite robust with respect to different messures of volume and volatility. We argue that this is a striking result in view of the substantial differences between the US market in the 1960s, 1970s and 1980s and the Chinese market of the 1990s. The relationship proves to be unstable over short sub-periods although whether this is due to the relatively short sample we use or to the inherent instability of the Chinese market in its first decade of operation will not be clear until much longer data sets are available for Chinese stock prices.

This paper examines opening and closing return patterns on the Chinese stock markets. We find that open-to-open returns are significantly more volatile than close-to-close returns. In addition, the correlation of the overnight return with the following daytime return is significantly negative, while the correlation of the daytime return with the following overnight return is strongly positive. The results show strong price continuation around the close and strong price reversal at the open, and the findings are not sensitive to trading volume. The findings are less likely to be caused by price limits. Our results are inconsistent with previous findings from the Tokyo Stock Exchange, yet similar to those from the New York Stock Exchange, albeit under a different market structure.