2009-03-01, English, Article, Report edition: Informed trading and liquidity in the Shanghai Stock Exchange.(Report) Wong, Woon K.; Tan, Dijun; Tian, Yixiang

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Physical Description
  • Report
  • Magazine/​Journal article
Published
  • Elsevier B.V., 2009 March
Language
  • English

Edition details

Title
  • Informed trading and liquidity in the Shanghai Stock Exchange.(Report)
Also Titled
  • Informed trading and liquidity in the Shanghai Stock Exchange.
Appears In
  • International Review of Financial Analysis, v.18, no.1-2, 2009 March, p.66(8) (ISSN: 1057-5219)
Author
  • Wong, Woon K.
  • Tan, Dijun
  • Tian, Yixiang
Published
  • Elsevier B.V., 2009 March
Physical Description
  • Report
  • Magazine/​Journal article
Subjects
Target Audience
  • Academic
Summary
  • To link to full-text access for this article, visit this link: http:/​/​dx.doi.org/​10.1016/​j.irfa.2008.11.002 Byline: Woon K. Wong (a), Dijun Tan (b), Yixiang Tian (b) Keywords: Informed trading; Liquidity; Duration; Volume; Volatility Abstract: Dufour and Engle (J. Finance (2000) 2467) find evidence of increased presence of informed traders when the NYSE markets are most active. No such evidence, however, can be found by Manganelli (J. Financial Markets (2005) 377) for the infrequently traded stocks. This article investigates the issue of informed trading and its relation to liquidity in Shanghai Stock Exchange. Consistent with the hypothesis that information-based trade exists for all stocks, our findings suggest an increased presence of informed trading in both liquid and illiquid stocks when markets are active. Moreover, for the actively traded stocks, our results support the price formation model of Foster and Viswanathan (Rev. Financial Studies (1990) 593) that activities of informed traders deter uninformed investors from trading, thereby reducing market liquidity. Author Affiliation: (a) Investment Management Research Unit, Cardiff Business School, United Kingdom (b) School of Management, University of Electronic Science and Technology, China Article History: Received 1 July 2008; Revised 12 November 2008; Accepted 13 November 2008 Article Note: (footnote) [star] An earlier version of this paper titled "Nonlinear ACD Model and Informed Trading: Evidence from Shanghai Stock Exchange" was presented at the 15th Forecasting Financial Markets Conference, France, 21-23 May 2008 and the China Finance International Symposium, Shanghai, China on 13 July 2008, from which the paper received the Excellent Paper Award. The authors would like to thank the conference participants for valuable comments.
Terms of Use
  • COPYRIGHT 2009 Elsevier B.V.
Language
  • English
Database
  • Gale Academic OneFile
Identifier
  • 350500285

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