Title :
Impact of information trading on stock excess returns: Evidence from Shenzhen GEM
Author :
He Xiaohong ; Liu Yucan
Author_Institution :
Sch. of Econ. & Manage., Nanjing Univ. of Sci. & Technol., Nanjing, China
Abstract :
This paper focuses on studies of the effects of information trading on stock excess returns. We try to illustrate the information trading effect on the stock excess returns with a sample of 176 stocks on Shenzhen GEM. Using empirical tests, the results show that there is a positive and statistically significant correlation between information trading and stock excess returns.
Keywords :
statistical analysis; stock markets; Shenzhen GEM; information trading; stock excess returns; Companies; Computational modeling; Correlation; Data models; Finance; Stock markets; GEM; PIN; Stock Excess Return; Three-factor Model; Turnover;
Conference_Titel :
Service Systems and Service Management (ICSSSM), 2015 12th International Conference on
Conference_Location :
Guangzhou
Print_ISBN :
978-1-4799-8327-8
DOI :
10.1109/ICSSSM.2015.7170172
