85th Seminar on Finance and Accounting

 

Topic: Buy and Sell Dynamics Following High Market Returns: Evidence from China

 

PresenterMartin Young Professor in FinanceMassey University

Time:     November 28, 2008(Friday)300430 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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