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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.
ISSN: 0219-0915
DOI: 10.1142/S0219091507001215
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