Initiation of trades on the Chinese stock market
Data(s) |
01/06/2015
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Resumo |
The flow of orders from buyers and sellers, relative to past returns and stock characteristics, was examined in the Chinese stock market. Order imbalance (the gap between buyer-and seller-initiated trades) was found to be negatively related to long term returns. Turn of the calendar year trading provided strong indications of tax-motivated trading as well as support for the flight-to-quality hypothesis, which suggests selling in response to perceived increases in market risk. |
Identificador |
http://hdl.handle.net/10536/DRO/DU:30077445 http://dro.deakin.edu.au/eserv/DU:30077445/thumbnail_zheng-reviewofpacific-evid-2015.jpg |
Idioma(s) |
eng |
Publicador |
World Scientific Publishing |
Relação |
http://dro.deakin.edu.au/eserv/DU:30077445/zheng-reviewofpacific-evid-2015.jpg http://www.dx.doi.org/10.1142/S0219091515500125 |
Direitos |
2015, World Scientific Publishing |
Palavras-Chave | #contrarian trading #disposition effect #Order imbalances #tax-loss selling |
Tipo |
Journal Article |