Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/9677
Title: Ownership restriction, information diffusion speed, and the performance of technical trading rules in Chinese domestic and foreign shares markets
Authors: Li, W
Wang, SS
Keywords: Information diffusion
Non-synchronous trading
Ownership restriction
Technical trading rules
Transaction costs
Issue Date: 2007
Source: Review of Pacific basin financial markets and policies, 2007, v. 10, no. 4, p. 585-617 How to cite?
Journal: Review of Pacific Basin Financial Markets and Policies 
Abstract: We examine the performance of technical trading rules in Chinese domestic A-share and foreign B-share markets. After controlling for non-synchronous trading and transaction costs, we find evidence to support the predictability and profitability of some of the most popular technical trading rules for B-shares but not for A-shares. However, after February 19, 2001, when domestic investors were allowed to trade B-shares, the predictive power of the trading rules in B-share markets disappeared. We conjecture that the predictability of technical trading rules in B-share markets can be attributed to the gradual diffusion of information among foreign investors under the foreign share ownership restriction, and, partly, to positive autocorrelations induced by thin trading.
URI: http://hdl.handle.net/10397/9677
ISSN: 0219-0915
DOI: 10.1142/S0219091507001215
Appears in Collections:Journal/Magazine Article

Access
View full-text via PolyU eLinks SFX Query
Show full item record

SCOPUSTM   
Citations

2
Last Week
0
Last month
0
Citations as of Jan 17, 2017

Page view(s)

34
Last Week
3
Last month
Checked on Jan 15, 2017

Google ScholarTM

Check

Altmetric



Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.