2015•Unpublished venueRequires access

Impact of information trading on stock excess returns: Evidence from Shenzhen GEM

Xiaohong He, Liu Yucan

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.

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Available abstract

Key concepts: Stock (firearms), Excess return, Stock trading, Econometrics, Financial economics, Algorithmic trading, Pairs trade, Economics