Speculative trading and stock prices: Evidence from Chinese A-B share premia

Jianping Mei, José A. Scheinkman, Wei Xiong

Research output: Contribution to journalArticle

103 Citations (Scopus)

Abstract

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 heterogeneous beliefs on stock prices and trading volume. This paper examines several implications of these theories using a unique data sample from a market with stringent short-sales constraints and perfectly segmented dual-class shares. The identical rights of the dual-class shares allow us to control for stock fundamentals. We find that trading caused by investors' speculative motives can help explain a significant fraction of the price difference between the dual-class shares.

Original languageEnglish (US)
Pages (from-to)225-255
Number of pages31
JournalAnnals of Economics and Finance
Volume10
Issue number2
StatePublished - Nov 1 2009

Fingerprint

Dual class shares
Stock prices
Short-sale constraints
Trading volume
Heterogeneous beliefs
Market dynamics
Investors

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics
  • Finance

Keywords

  • Speculative bubble
  • Trading volume

Cite this

Mei, Jianping ; Scheinkman, José A. ; Xiong, Wei. / Speculative trading and stock prices : Evidence from Chinese A-B share premia. In: Annals of Economics and Finance. 2009 ; Vol. 10, No. 2. pp. 225-255.
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Speculative trading and stock prices : Evidence from Chinese A-B share premia. / Mei, Jianping; Scheinkman, José A.; Xiong, Wei.

In: Annals of Economics and Finance, Vol. 10, No. 2, 01.11.2009, p. 225-255.

Research output: Contribution to journalArticle

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