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. 02, pp. 1-14, doi: 10.1142/S0219091515500125.

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Title Initiation of trades on the Chinese stock market
Author(s) Zheng, XinweiORCID iD for Zheng, Xinwei
Journal name Review of Pacific Basin Financial Markets and Policies
Volume number 18
Issue number 02
Start page 1
End page 14
Total pages 14
Publisher World Scientific Publishing
Place of publication London, Eng.
Publication date 2015
ISSN 0219-0915
Keyword(s) G1
Order imbalances
disposition effect
tax-loss selling
contrarian trading
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
DOI 10.1142/S0219091515500125
Field of Research 150201 Finance
140207 Financial Economics
1502 Banking, Finance And Investment
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
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