The dynamics of individual and institutional trading on the Shanghai Stock Exchange

Lee, Bong Soo; Li, Wei; Wang, Steven Shuye

doi:10.1016/j.pacfin.2009.09.002

Cited by 48 publications

(38 citation statements)

References 34 publications

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“…When offered suggestions for ways that the Shanghai stock market's regulation might improve, a large proportion chose all four options shown in Table 6, suggesting they perceive shortfalls in all these areas, but have expectations that they may improve in future. Their perceptions of deficiencies in market governance agree with the findings, reviewed earlier, of Lee, Li & Wang (2010), ComertonForde & Ridge (2005), Chen et al (2008) and Chau et al (2010).…”

Section: Questionnaire Resultssupporting

confidence: 84%

“…However, despite 75% of Group A knowing how to invest in exchanges outside China, only 63% perceived the Hong Kong and Singapore exchanges as conveniently accessible: the remainder thought them difficult to access. In contrast, it is easy for Chinese domiciled investors to access the Shanghai market, indeed the high levels of retail investor involvement are well-recognised and contribute to its volatility (Comerton-Forde & Ridge, 2005, Tan et al, 2008, Lee, Li & Wang, 2010. The difficulty of access accords with the segmentation of the mainland Chinese markets from those in Singapore and Hong Kong identified by Wang and di Iorio (2006).…”

Section: Questionnaire Resultsmentioning

confidence: 99%

“…Overall, these findings suggest that the investors in the Shanghai market are predominantly domestic and largely separate from those operating on the Singapore and Hong Kong markets. Lee, Li & Wang (2010) characterised these domestic investors in the Chinese stock markets as mainly individual rather than institutional investors. They tend to over-react to market shocks and engage in abnormal trading volumes around earnings announcements, compared to more informed institutional investors.…”

Section: Characteristics Of the Chinese Stock Marketsmentioning

confidence: 99%

See 2 more Smart Citations

Would the Reputation and Behaviour of the Chinese Stock Exchange Be a Disincentive to Investors Considering a Chinese Reit?

Downie

Wang

Xiao³

2010

Proceedings of the 17th Annual European Real Estate Society Conference - Milan, Italy

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China has drawn the world's attention with the emergence, rapid growth and increasing maturity of its real estate market in the past twenty years. Currently the world's third largest economy, China was the second largest Asian country for commercial property transaction capital flows in 2006 (JLL, 2007). International investors have recently shown considerable interest regarding property investment in China, via both direct and indirect property and changes to the rules governing internal funds are likely to initiate high levels of effective demand from domestic institutions too. China is yet to develop a Real Estate Investment trust (REIT) market; despite this investment demand encouragement for development of pilot REITs by the PRC government has waxed and waned with political imperatives to manage market and economic volatility. Chinese REITs would theoretically provide the opportunity for investors to access Chinese "property" returns with liquidity and flexibility and might further play a significant role in stabilising the Chinese capital market in the medium and long term.The purpose of this paper is to examine whether the reputation and behaviour of the Chinese stock exchanges is a disincentive to investors considering a Chinese REIT. This is addressed firstly by assessing Chinese stock market volatility compared to that of the Hong Kong and Singapore stock exchanges. Secondly, a survey was used to explore Chinese domestic investors' attitudes to investment in Chinese property REITs and their preferences amongst the three main Asian stock exchanges where Chinese REITs might potentially be available.

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Section: Questionnaire Resultssupporting

confidence: 84%

Section: Questionnaire Resultsmentioning

confidence: 99%

Section: Characteristics Of the Chinese Stock Marketsmentioning

confidence: 99%

See 1 more Smart Citation

Would the Reputation and Behaviour of the Chinese Stock Exchange Be a Disincentive to Investors Considering a Chinese Reit?

Downie

Wang

Xiao³

2010

Proceedings of the 17th Annual European Real Estate Society Conference - Milan, Italy

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“…Moreover, Lee et al (2010) show that retail investors in the A-market trade more aggressively in relation to major corporate disclosures and key market pronouncements. Rather than bolstering long-term price discovery, such announcements might accelerate short-term A-to H-causality effects.…”

Section: Liquidity and Trading Activitiesmentioning

confidence: 99%

“…The A-('home') market may have an advantage in 'interpreting' the broader background to important corporate and macro/policy announcement (Lee, Li and Wang, 2010). Moreover, Lee et al (2010) show that retail investors in the A-market trade more aggressively in relation to major corporate disclosures and key market pronouncements.…”

Section: Liquidity and Trading Activitiesmentioning

confidence: 99%

Capital account reform and short- and long-run stock price leadership

Cai¹,

McGuinness

Qi³

2015

The European Journal of Finance

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Additional information:Use policyThe full-text may be used and/or reproduced, and given to third parties in any format or medium, without prior permission or charge, for personal research or study, educational, or not-for-prot purposes provided that:• a full bibliographic reference is made to the original source • a link is made to the metadata record in DRO • the full-text is not changed in any way The full-text must not be sold in any format or medium without the formal permission of the copyright holders.Please consult the full DRO policy for further details. Capital account reform and short-and long-run stock price leadership AbstractThis paper studies the effect of capital account liberalization policies on the price discovery of crosslistings in Chinese stocks. We construct a non-linear causality framework that decomposes shortand long-run dimensions of price leadership. Our analysis shows that capital account liberalization has had a profound effect on long-run A-and H-price leadership traits. Specifically, increased inward capital movement from Qualified Foreign Institutional Investors (QFIIs) strengthens longterm leadership in the mainland A-market. Similarly, increased capital outflow from the Chinese mainland galvanizes long-term price discovery processes in the Hong Kong H-market. We thus offer strong evidence that capital account liberalization promotes stock market efficiency in the long-run. The present study's empirical account also suggests that such capital flows inhibit shortterm lead-lag effects.

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Forecasting stock return volatility: Realized volatility‐type or duration‐based estimators

Fei

Liu

Wen

2023

Journal of Forecasting

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In this paper, we study the predictive performance of two kinds of volatility estimators: the realized volatility (RV) type and duration‐based ones. This is motivated by the theoretical and empirical support for these distinct estimators. We use intraday data for 218 component stocks of the CSI 300 index in the Chinese equity market from 2010–2019 and perform in‐ and out‐of‐sample 1‐, 5‐, and 22‐day ahead volatility forecasts from combinations of volatility models and these estimators. We show that, although empirically more efficient with the US data, the duration‐based estimators fail to compete statistically, or in terms of economic value, with RV‐type ones in the Chinese market. We perform a comprehensive set of simulations to rationalize these results and show that duration‐based estimators underperform as they cannot handle the occasional heightened level of volatility in the Chinese market.

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The dynamics of individual and institutional trading on the Shanghai Stock Exchange

Cited by 48 publications

References 34 publications

Would the Reputation and Behaviour of the Chinese Stock Exchange Be a Disincentive to Investors Considering a Chinese Reit?

Would the Reputation and Behaviour of the Chinese Stock Exchange Be a Disincentive to Investors Considering a Chinese Reit?

Capital account reform and short- and long-run stock price leadership

Forecasting stock return volatility: Realized volatility‐type or duration‐based estimators

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