Published in:Applied Financial Economics Letters, Forthcoming
Extent:
1 Online-Ressource (15 p)
Language:
Not determined
DOI:
10.2139/ssrn.959037
Identifier:
Origination:
Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 1, 2007 erstellt
Description:
Stock returns in China exhibit significant co-movement with provincial return indices after controlling for the industry effect, consistent with local co-movement findings in the United States. The magnitude of such co-movement increases with participation in trading by local investors. Trading activities of individual stocks also co-vary with provincial volume. The last two findings support the roles of investor behavior in explaining the local return co-movement phenomenon