Speculative Trading And Stock Prices Evidence From Chinese A B Share Premia
Category : Business » Stock Trading
. sales constraints and heterogeneous beliefs on trading volume and stock prices. . During most of the 1990s, each side of a trade on the Shanghai Stock Exchange .
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The market dynamics of technology stocks in the late 1990s have stimulated a growing body of theory that analyzes the joint effects of short-sales constraints and heterogeneousbeliefs on stock prices and trading volume. This paper examines several implications ofthese theories using a unique data sample from a market with stringent short-sales con-straints and perfectly segmented dual-class shares. The identical rights of the dual-classshares allow us to control for stock fundamentals. We find that trading caused by in-vestors’ speculative motives can help explain a significant fraction of the price differencebetween the dual-class shares.
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