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Initiation of trades on the Chinese stock market

journal contribution
posted on 2015-01-01, 00:00 authored by Xinwei ZhengXinwei Zheng
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.

History

Journal

Review of Pacific Basin Financial Markets and Policies

Volume

18

Pagination

1-14

Location

London, Eng.

ISSN

0219-0915

eISSN

1793-6705

Language

eng

Publication classification

C1 Refereed article in a scholarly journal, C Journal article

Copyright notice

2015, World Scientific Publishing

Issue

02

Publisher

World Scientific Publishing