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Buy and sell dynamics following high market returns: Evidence from China
Authors:Udomsak Wongchoti  Fei Wu  Martin Young
Institution:1. Electrical Power Systems & Management Department, Technical University of Cluj-Napoca 28, Memorandumului St., 400114 Cluj-Napoca, Romania;2. Centre d’Innovació Tecnològica en Convertidors Estàtics i Accionaments (CITCEA-UPC), Departament d’Enginyeria Elèctrica, Universitat Politècnica de Catalunya, EU d’Enginyeria Tècnica Industrial de Barcelona, Carrer Comte d’Urgell, 187 - 08036 Barcelona, Spain;3. Centre d’Innovació Tecnològica en Convertidors Estàtics i Accionaments (CITCEA-UPC), Departament d’Enginyeria Elèctrica, Universitat Politècnica de Catalunya, ETS d’Enginyeria Industrial de Barcelona, Av. Diagonal, 647, Pl. 2. 08028 Barcelona, Spain;4. IREC Catalonia Institute for Energy Research, Jardins de les Dones de Negre 1, 2ª Pl, 08930 Sant Adrià de Besòs, Barcelona, Spain;1. School of Economics, Australian School of Business, University of New South Wales, Sydney NSW 2052, Australia;2. ING Group, Bijlmerdreef 98, 1102 CT Amsterdam, The Netherlands;3. Department of Social Science and Policy Studies, Worcester Polytechnic Institute, 100 Institute Road, Worcester, MA 01609-2280, USA;1. Samsung Economic Research Institute, Seoul 140-702, Republic of Korea;2. Agricultural, Environmental and Development Economics, The Ohio State University, Columbus, OH 43210, United States;3. Agricultural Economics, Mississippi State University, Mississippi State, MS 39762, United States
Abstract:We provide a closer look at the trading dynamics which may give rise to the positive relationship between market trading volume and its lagged returns. Chinese market turnover increases sharply with past day returns. A comprehensive dataset which facilitates the tracing of trading activities among different groups of investors reveals that when previous market returns are high, investors with larger (smaller) average trade size increase their buy (sell) volume. Our findings indicate an important role of differing responses to market information among different classes of investors (e.g. different priors) in explaining this recently documented phenomenon.
Keywords:
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