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Stock return seasonalities and investor structure: Evidence from China's B-share markets
16 references·2 citing·39 second hop
Stock return seasonalities and investor structure: Evidence from China's B-share markets (2010)Stock return seasonalities and investor s…Trading Performance, Disposition Effect, Overconfidence, Representativeness Bias, and Experience of Emerging Market Investors (2007)Trading Performance, Disposit…The Dynamics of Institutional and Individual Trading (2003)The Dynamics of Institutional…Location Matters: An Examination of Trading Profits (2001)Location Matters: An Examinat…Institutional Investors and Equity Prices (2001)Institutional Investors and E…Herding and Feedback Trading by Institutional and Individual Investors (1999)Herding and Feedback Trading …Institutional Investors and Equity Prices (1998)Institutional Investors and E…Anomalies or illusions? Evidence from stock markets in eighteen countries (1994)Anomalies or illusions? Evide…Stealth trading and volatility (1993)Stealth trading and volatilityOn the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…The Weekend Effect: Trading Patterns of Individual and Institutional Investors (1990)The Weekend Effect: Trading P…The Week-End Effect in Common Stock Returns: The International Evidence (1985)The Week-End Effect in Common…Stock returns and the weekend effect (1980)Stock returns and the weekend…The Behavior of Stock Prices on Fridays and Mondays (1973)The Behavior of Stock Prices …Foreign investment, corporate governance and performance in the Chinese listed A Share companies (2017)Foreign investment, corporate…Comparison of the ‘turn-of-the-month’ and lunar new year return effects in three Chinese markets: Hong Kong, Shanghai and Shenzhen (2011)Comparison of the ‘turn-of-th…The market for corporate control (1983)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Stealth-trading: Which traders' trades move stock prices? (2001)Which Shorts Are Informed? (2007)Do Retail Trades Move Markets? (2008)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Day of the Week Effects and Asset Returns (1981)Econometric Models and Economic Forecasts (1990)Industrial Structure and the Comparative Behavior of International Stock Market Indices (1992)International stock market linkages: Evidence from the pre- and post-October 1987 period (1993)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Stock return variances (1986)Correlations in Price Changes and Volatility across International Stock Markets (1990)The Efficient Market Hypothesis and Its Critics (2003)Risk, Return, and Equilibrium: Empirical Tests (1973)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)What Makes Investors Trade? (2001)Mutual Fund Herding and the Impact on Stock Prices (1999)Inefficient Markets (2000)The market for borrowing stock (2002)Short sales, institutional investors and the cross-section of stock returns (2005)Multifactor Explanations of Asset Pricing Anomalies (1996)Chapter 18 A survey of behavioral finance (2003)Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization (2004)Retail Investor Sentiment and Return Comovements (2006)The Cross‐Section of Volatility and Expected Returns (2006)A Further Investigation of the Weekend Effect in Stock Returns (1984)A transaction data study of weekly and intradaily patterns in stock returns (1986)Macroeconomic Factors Do Influence Aggregate Stock Returns (2002)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)
this work references cited by second hop

References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1980Stock returns and the weekend effect1,997 cited
  • 2001Institutional Investors and Equity Prices1,646 cited
  • 1999Herding and Feedback Trading by Institutional and Individual Investors1,587 cited
  • 1998Institutional Investors and Equity Prices1,263 cited
  • 1993Stealth trading and volatility948 cited
  • 1973The Behavior of Stock Prices on Fridays and Mondays826 cited
  • 1985The Week-End Effect in Common Stock Returns: The International Evidence771 cited
  • 1993Measuring and Testing the Impact of News on Volatility755 cited
  • 2007Trading Performance, Disposition Effect, Overconfidence, Representativeness Bias, and Experience of Emerging Market Investors627 cited
  • 2001Location Matters: An Examination of Trading Profits624 cited
  • 1994Anomalies or illusions? Evidence from stock markets in eighteen countries543 cited
  • 2003The Dynamics of Institutional and Individual Trading

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506 cited
  • 1990The Weekend Effect: Trading Patterns of Individual and Institutional Investors498 cited
  • Cited by

    • 2011Comparison of the ‘turn-of-the-month’ and lunar new year return effects in three Chinese markets: Hong Kong, Shanghai and Shenzhen25 cited
    • 2017Foreign investment, corporate governance and performance in the Chinese listed A Share companies19 cited