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Speculative dynamics and price behavior in the Shanghai Stock Exchange

Speculative dynamics and price behavior in the Shanghai Stock Exchange
Speculative dynamics and price behavior in the Shanghai Stock Exchange
This article examines the extent to which the trading behavior of heterogeneous investors manifests in stock price changes of asset portfolios which constitute the Shanghai Stock Exchange. There are three major findings that materialize. Firstly, reliable statistical evidence of a negative relation between the conditional first and second moments of the return distributions of stock prices lends support to the volatility feedback effect. Secondly, ‘feedback’, or momentum-type investors, are not present in this market as is often detected from the daily price changes of other industrialized markets. Finally, trade volume as a proxy for ‘information-driven’ trading suggests that such investors play a statistically significant role in stock price movements. Parameter estimates from this latter group of investors imply that a rise in stock prices from a high volume trading day is more likely than a rise resulting from a low volume trading day.
0275-5319
74-86
Koutmos, Dimitrios
542bf98b-f0bb-4072-bc2e-9806f6ca0599
Song, Wei
0d91b8a3-694b-469e-a15e-bba82dc5d090
Koutmos, Dimitrios
542bf98b-f0bb-4072-bc2e-9806f6ca0599
Song, Wei
0d91b8a3-694b-469e-a15e-bba82dc5d090

Koutmos, Dimitrios and Song, Wei (2014) Speculative dynamics and price behavior in the Shanghai Stock Exchange. Research in International Business and Finance, 31, 74-86. (doi:10.1016/j.ribaf.2013.11.006).

Record type: Article

Abstract

This article examines the extent to which the trading behavior of heterogeneous investors manifests in stock price changes of asset portfolios which constitute the Shanghai Stock Exchange. There are three major findings that materialize. Firstly, reliable statistical evidence of a negative relation between the conditional first and second moments of the return distributions of stock prices lends support to the volatility feedback effect. Secondly, ‘feedback’, or momentum-type investors, are not present in this market as is often detected from the daily price changes of other industrialized markets. Finally, trade volume as a proxy for ‘information-driven’ trading suggests that such investors play a statistically significant role in stock price movements. Parameter estimates from this latter group of investors imply that a rise in stock prices from a high volume trading day is more likely than a rise resulting from a low volume trading day.

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e-pub ahead of print date: 12 December 2013
Published date: 1 May 2014

Identifiers

Local EPrints ID: 433994
URI: http://eprints.soton.ac.uk/id/eprint/433994
ISSN: 0275-5319
PURE UUID: 0a85a079-2b7c-4476-adea-0b9979891199

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Date deposited: 10 Sep 2019 16:30
Last modified: 08 Jan 2022 01:41

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Contributors

Author: Dimitrios Koutmos
Author: Wei Song

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