Speculative trading, stock returns and asset pricing anomalies

IF 5.6 2区 经济学 Q1 BUSINESS, FINANCE Emerging Markets Review Pub Date : 2024-06-13 DOI:10.1016/j.ememar.2024.101165
Teng Zhang , Jiaqi Li , Zhiwei Xu
{"title":"Speculative trading, stock returns and asset pricing anomalies","authors":"Teng Zhang ,&nbsp;Jiaqi Li ,&nbsp;Zhiwei Xu","doi":"10.1016/j.ememar.2024.101165","DOIUrl":null,"url":null,"abstract":"<div><p>We propose a novel firm-level measure of speculative trading (<em>SPT</em>) for the Chinese stock market. Based on prior studies identifying differences of opinion as the dominant driver of speculative trading, we isolate the trading volume driven by differences of opinion from total trading volume as the speculative trading measure. We verify that <em>SPT</em> effectively reflects speculative trading and significantly and negatively predicts future returns. More importantly, <em>SPT</em> contains incremental information relative to the other speculative trading proxies. Using <em>SPT</em>, we further find that speculative trading plays a key role in explaining and driving the anomaly returns in the Chinese market.</p></div>","PeriodicalId":47886,"journal":{"name":"Emerging Markets Review","volume":null,"pages":null},"PeriodicalIF":5.6000,"publicationDate":"2024-06-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Emerging Markets Review","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1566014124000608","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0

Abstract

We propose a novel firm-level measure of speculative trading (SPT) for the Chinese stock market. Based on prior studies identifying differences of opinion as the dominant driver of speculative trading, we isolate the trading volume driven by differences of opinion from total trading volume as the speculative trading measure. We verify that SPT effectively reflects speculative trading and significantly and negatively predicts future returns. More importantly, SPT contains incremental information relative to the other speculative trading proxies. Using SPT, we further find that speculative trading plays a key role in explaining and driving the anomaly returns in the Chinese market.

查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
投机交易、股票回报和资产定价异常
我们为中国股市提出了一种新的公司层面的投机交易(SPT)衡量方法。基于之前的研究发现意见分歧是投机交易的主要驱动因素,我们将意见分歧驱动的交易量从总交易量中分离出来,作为投机交易的衡量指标。我们验证了 SPT 能有效反映投机交易,并能显著负向预测未来回报。更重要的是,相对于其他投机交易指标,SPT 包含了更多的信息。利用 SPT,我们进一步发现,投机交易在解释和驱动中国市场的异常回报方面发挥着关键作用。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
求助全文
约1分钟内获得全文 去求助
来源期刊
CiteScore
7.10
自引率
4.20%
发文量
85
审稿时长
100 days
期刊介绍: The intent of the editors is to consolidate Emerging Markets Review as the premier vehicle for publishing high impact empirical and theoretical studies in emerging markets finance. Preference will be given to comparative studies that take global and regional perspectives, detailed single country studies that address critical policy issues and have significant global and regional implications, and papers that address the interactions of national and international financial architecture. We especially welcome papers that take institutional as well as financial perspectives.
期刊最新文献
Disruptive technology and audit risks: Evidence from FTSE 100 companies Will Southeast Asia be the next global manufacturing hub? A multiway cointegration, causality, and dynamic connectedness analyses Climate policy and China's external balances International financial integration and financial stress of emerging market economies: The role of institutional quality CEO early-life experience and corporate accounting conservatism: Insights from the socio-political context
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1