DocumentCode
727639
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
fYear
2015
fDate
22-24 June 2015
Firstpage
1
Lastpage
5
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Service Systems and Service Management (ICSSSM), 2015 12th International Conference on
Conference_Location
Guangzhou
Print_ISBN
978-1-4799-8327-8
Type
conf
DOI
10.1109/ICSSSM.2015.7170172
Filename
7170172
Link To Document