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Initiation of trades on the Chinese stock market

Zheng, Xinwei 2015, Initiation of trades on the Chinese stock market, Review of pacific basin financial markets and policies, vol. 18, no. 2, pp. 1-14.

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Title Initiation of trades on the Chinese stock market
Author(s) Zheng, XinweiORCID iD for Zheng, Xinwei orcid.org/0000-0001-5970-4609
Journal name Review of pacific basin financial markets and policies
Volume number 18
Issue number 2
Start page 1
End page 14
Total pages 14
Publisher World Scientific Publishing
Place of publication London, Eng.
Publication date 2015-06
ISSN 0219-0915
Keyword(s) contrarian trading
disposition effect
Order imbalances
tax-loss selling
Summary 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.
Language eng
Field of Research 150201 Finance
Socio Economic Objective 970115 Expanding Knowledge in Commerce
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2015, World Scientific Publishing
Persistent URL http://hdl.handle.net/10536/DRO/DU:30077445

Document type: Journal Article
Collections: School of Accounting, Economics and Finance
Department of Finance
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