Title: An Empirical Study on the Level and the Nature of Information-based Trading in Chinese Stock Market
Abstract: This paper investigates the level and the nature of information-based trading in Chinese stock market.Using the sequential trade model and the PIN measure developed by Easley,Hvidkjaer and O'Hara(2002),we find substantial evidences concerning the information-based trading.First,information asymmetry is severer in Chinese stock market than that of NYSE.Second,since the informed traders have limited ability to exploit bad news and liquidity trading is high,the probability of information-based trading is reasonable compared with that of NYSE.Last,evidence shows that information-based trading has negative impact on stock return of subsequent period,which means the market manipulation prevails in information-based trading in Chinese stock market.
Publication Year: 2007
Publication Date: 2007-01-01
Language: en
Type: article
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