Information-based trade in the Shanghai stock market

Copeland, L., Wong, W. K. and Zeng, Y. (2009) Information-based trade in the Shanghai stock market. Global Finance Journal, 20 (2). pp. 180-190. ISSN 1044-0283

Full text not available from this repository

Publisher's URL: http://dx.doi.org/10.1016/j.gfj.2009.02.002

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
Uncontrolled Keywords:information-based trade, asset pricing, Shanghai stock exchange
Faculty/Department:Faculty of Business and Law > Department of Business Management
ID Code:12169
Deposited By: Dr W. Wong
Deposited On:06 Jan 2011 09:50
Last Modified:12 Aug 2013 08:03

Request a change to this item

Copyright 2013 © UWE better together