Information-based trade in the Shanghai stock market

Copeland, Laurence Sidney, Wong, Woon K. ORCID: https://orcid.org/0000-0001-6892-9965 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

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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:	19 Oct 2022 08:45
URI:	https://orca.cardiff.ac.uk/id/eprint/18945

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