Where are the fundamental traders? A model application based on the Shanghai Stock Exchange |
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Institution: | American University, Department of Economics, 4400 Massachusetts Avenue, NW, Washington, DC 20016, United States of America |
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Abstract: | This study develops a model to disaggregate traders into categories based on their strategic approach to (fundamental versus technical) and perception about future price trends. Testing the model with data from the Shanghai Stock Exchange (SSE), the study finds a minimal presence of fundamental traders. However, model estimation reveals that the SSE is weak-form efficient as technical traders do not earn abnormal profits. |
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