Holding periods, illiquidity and disposition effect in the Chinese stock markets
Year: 2007
Type: article
Abstract: This article examines the relation between average holding periods, stock illiquidity and investors’ disposition effects in the Chinese stock markets between 1996 and 2003. The results show that Chinese investors’ holding periods are longer for illiquid stocks and are inversely associated with past stock returns. Both relations are prevalent in the Shanghai and the Shenzhen A-share stock markets, which are dominated by individual investors. Nonetheless, relatively weak evidence is found in regards to the disposition effect in the B-shares markets, which are dominated by institutional investors.
Source: Applied Financial Economics
Institutions: Massey University, Auckland University of Technology
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W1979219141