{"title":"Speculative trading, stock returns and asset pricing anomalies","authors":"Teng Zhang , Jiaqi Li , 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.
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.