Cardiff University | Prifysgol Caerdydd ORCA
Online Research @ Cardiff 
WelshClear Cookie - decide language by browser settings

Information-based trade in the Shanghai stock market

Copeland, Laurence Sidney, Wong, Woon K. and Zeng, Yong 2009. Information-based trade in the Shanghai stock market. Global Finance Journal 20 (2) , pp. 180-190. 10.1016/j.gfj.2009.02.002

Full text not available from this repository.

Abstract

We show that the probability of information-based trade (PIN) played a significant role in explaining monthly returns on Shanghai A shares over the period 2001 to 2006. In particular, PIN, as approximated by order imbalance as a proportion of total transactions, appears to explain returns even after controlling for risk in the much-cited Fama and French [Fama, E. F. & French, K. R. (1992). The Cross-Section of Expected Stock Returns. Journal of Finance, XLVII, 427–465.] three-factor model. However, we also find that some of the PIN effect appears to be indistinguishable from a turnover effect.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Business (Including Economics)
Subjects: H Social Sciences > HB Economic Theory
H Social Sciences > HF Commerce
H Social Sciences > HG Finance
Uncontrolled Keywords: Information-based trade ; Asset pricing ; Shanghai Stock Exchange
Publisher: Elsevier
ISSN: 1044-0283
Last Modified: 04 Jun 2017 03:15
URI: http://orca.cf.ac.uk/id/eprint/18945

Citation Data

Cited 12 times in Google Scholar. View in Google Scholar

Cited 7 times in Scopus. View in Scopus. Powered By Scopus® Data

Actions (repository staff only)

Edit Item Edit Item