Topic: Buy and Sell Dynamics Following High Market Returns: Evidence from China
Presenter：Martin Young， Professor in Finance，Massey University |
Time: November 28, 2008（Friday）3：00—4：30 PM
Venue: Room 513, Jiageng Bld 2
Chair： Zhe Shen, assistant professor in finance, IFAS
Abstract：
We provide a closer look at the trading dynamics which may give rise to the positive
relationship between market trading volume and its lagged returns. Chinese market turnover
increases sharply with past day returns. A comprehensive dataset which facilitates the tracing
of trading activities among different groups of investors reveals that when previous market
returns are high, investors with larger (smaller) average trade size increase their buy (sell)
volume. Our findings indicate an important role of differing responses to market information
among different classes of investors (e.g. different priors) in explaining this recently
documented phenomenon.
Presenter Introduction：
Dr Martin Young is a Professor of Finance in and Head of the Department of Finance, Banking and Property, Massey University, New Zealand. Prior to this he spent four years as a Senior Fellow at the Nanyang Business School, Nanyang Technological University in Singapore. As well as his academic experience, Dr Young also has wide experience working within financial markets, having been a member of the New Zealand Stock Exchange for many years. He has a particular interest in research in the Asian financial markets, is a member of the Asian Finance Association Board, and is the New Zealand representative on the Asian Shadow Financial Regulatory Committee. Recently he was the co-program chair for the Asian FA/FMA conference held in Auckland, New Zealand. His academic publications include articles in the Journal of Banking and Finance, the Financial Review and the Pacific-Basin Finance Journal and he currently serves on the editorial board of the International Review of Financial Analysis.
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