Research of the Informed Trading Probability Monthly Effect in Chinese Stock Market

Authors :: Jia-yi Li
Zhen-ming Fang
Source :: Proceedings of 2013 4th International Asia Conference on Industrial Engineering and Management Innovation (IEMI2013) ISBN: 9783642400599
Publication Year :: 2013
Publisher :: Springer Berlin Heidelberg, 2013.
Abstract: Basing on the return rate monthly Effect, the informed trading probability was combined with return rate for research in sight of market structure, and percentage monthly risk-adjusted return using Fama and French three-factor model, regressing the multi-factor on two-stage. PIN of September is the lowest in the year, showing negative relationship with percentage monthly return, the result is different with empirical results in foreign market. Impact factors for PIN monthly effect are analyzed including size of company, liquidity risk.

Subjects :: Rate of return
Market structure
Negative relationship
Financial economics
Fama–French three-factor model
Stock market
Business
Algorithmic trading
computer.software_genre
Liquidity risk
computer
Foreign market

ISBN :: 978-3-642-40059-9
ISBNs :: 9783642400599
Database :: OpenAIRE
Journal :: Proceedings of 2013 4th International Asia Conference on Industrial Engineering and Management Innovation (IEMI2013) ISBN: 9783642400599
Accession number :: edsair.doi...........d34eac07601e1dbc65fa11c6b0a8a07d
Full Text :: https://doi.org/10.1007/978-3-642-40060-5_35

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