Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7355710 | International Review of Financial Analysis | 2018 | 55 Pages |
Abstract
We study market-wide liquidity and trading activity in China. Trading activity increases in up markets more than in down markets, which is consistent with the disposition effect and the large number of unsophisticated retail investors in China. Whereas, on average, liquidity and trading activity are lower around holidays, more recently, trading activity has been significantly lower before holidays and higher afterward. Aggregate short selling and margin trading activity boost trading activity, but short selling also increases spreads, indicating lower liquidity. We also document the positive effects of other recent regulatory changes and the increased influence of global factors in China.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Rui Ma, Hamish D. Anderson, Ben R. Marshall,