Information-based trade in the Shanghai stock market
(2009)
Journal Article
Wong, W. K., Copeland, L., & Zeng, Y. (2009). Information-based trade in the Shanghai stock market. Global Finance Journal, 20(2), 180-190. https://doi.org/10.1016/j.gfj.2009.02.002
We show that the probability of information-based trade (PIN) played a significant role in explaining monthly returns on Shanghai A shares over the period 2001 to 2006. In particular, PIN, as approximated by order imbalance as a proportion of total t... Read More about Information-based trade in the Shanghai stock market.