Information-based trade in the Shanghai stock market

Copeland, Laurence, Wong, Woon K. and Zeng, Y. 2008. Information-based trade in the Shanghai stock market. [Working Paper]. Cardiff Economics Working Papers, Cardiff: Cardiff University.

Preview

PDF - Published Version Download (349kB) | Preview

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 (1992) three-factor model. However, we also find that some of the PIN effect appears to be indistinguishable from a turnover effect.

Item Type:	Monograph (Working Paper)
Date Type:	Publication
Status:	Published
Schools:	Business (Including Economics)
Subjects:	H Social Sciences > HB Economic Theory
Publisher:	Cardiff University
Date of First Compliant Deposit:	30 March 2016
Last Modified:	04 Jun 2017 08:25
URI:	https://orca.cardiff.ac.uk/id/eprint/77779

Actions (repository staff only)

Edit Item