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Using a novel proxy of investors' speculative demand constructed from online search interest in "concept stocks", we examine how speculative demand affects the returns and trading volume of Chinese stock indices. We find that returns and trading volume increase with the contemporaneous...
Persistent link: https://www.econbiz.de/10012967719
Using hand-collected TV programming data and intra-day trading data from China, we compare the trading, liquidity, and …
Persistent link: https://www.econbiz.de/10012972436
We show that Chinese actively managed stock mutual funds persistently exhibit a preference for growth stocks over value stocks, despite the fact that value stocks outperform growth stocks on average. Moreover, funds with a growth tilt do not under-perform their value-oriented peer funds. To...
Persistent link: https://www.econbiz.de/10012915752
Predicting stock market crashes and corrections is a focus of interest for both researchers and practitioners. Several prediction models have been developed, mostly on mature financial markets. In this paper, we investigate whether fundamental crash predictors, the price-to-earnings ratio, the...
Persistent link: https://www.econbiz.de/10012903786
Using a novel proxy of investors' speculative demand constructed from online search interest in “concept stocks”, we examine how speculative demand affects the returns and trading volume of Chinese stock indices. We find that returns and trading volume increase with the contemporaneous...
Persistent link: https://www.econbiz.de/10012905637
Compared to US stocks, Chinese stocks earn most of the returns during the day. We extend previous findings by Qiao and Dam (2020) arguing that the absence of day trading in the Chinese stock markets explains these differences and argue that these differences reflect an illiquidity premium. We...
Persistent link: https://www.econbiz.de/10013222596
(SHSE) and Shenzhen Stock Exchange (SZSE) in China. We report the presence of herding behavior during the period under study …
Persistent link: https://www.econbiz.de/10013489813
By means of Event Study, Panel Data Regression and Feasible Generalized Least Squares, we discuss the influence of uncertainty of information on the Post-Earnings Announcement Drift. We find that there are not significant differences between the H-share financial statements and the A-share...
Persistent link: https://www.econbiz.de/10013139665
and Treasury bonds in China. With daily-aggregated tick-by-tick data over three years on the Shanghai Security Exchange …
Persistent link: https://www.econbiz.de/10013141987
We studied the IPO price and long-term performance in China after the adoption of the book-building pricing mechanism …
Persistent link: https://www.econbiz.de/10013144293