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Information-based trade in the Shanghai stock market

Wong, Woon K.; Copeland, Laurence; Zeng, Yong

Authors

Woon K. Wong

Laurence Copeland

Yong Zeng



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. © 2009 Elsevier Inc.

Citation

Wong, W. K., Copeland, L., & Zeng, Y. (2009). Information-based trade in the Shanghai stock market. Global Finance Journal, 20(2), 180-190. https://doi.org/10.1016/j.gfj.2009.02.002

Journal Article Type Article
Publication Date Jun 29, 2009
Journal Global Finance Journal
Print ISSN 1044-0283
Publisher Elsevier
Peer Reviewed Not Peer Reviewed
Volume 20
Issue 2
Pages 180-190
DOI https://doi.org/10.1016/j.gfj.2009.02.002
Keywords information-based trade, asset pricing, Shanghai stock exchange
Public URL https://uwe-repository.worktribe.com/output/1001517
Publisher URL http://dx.doi.org/10.1016/j.gfj.2009.02.002




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