English, Article edition: Ownership Restriction, Information Diffusion Speed, and the Performance of Technical Trading Rules in Chinese Domestic and Foreign Shares Markets Wei Li; Steven Shuye Wang

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Physical Description
  • article
Language
  • English

Edition details

Title
  • Ownership Restriction, Information Diffusion Speed, and the Performance of Technical Trading Rules in Chinese Domestic and Foreign Shares Markets
Author
  • Wei Li
  • Steven Shuye Wang
Physical Description
  • article
Notes
  • 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.
  • Technical trading rules, ownership restriction, information diffusion, non-synchronous trading, transaction costs, JEL Classification: G12, JEL Classification: G14, JEL Classification: G15
  • RePEc:wsi:rpbfmp:v:10:y:2007:i:04:p:585-617
Language
  • English
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