Impact of Information Trading on Stock Excess Returns: Evidence from Shenzhen GEM

被引：0
|
作者：
He Xiaohong [1 ]
Liu Yucan [1 ]
机构：
[1] Nanjing Univ Sci & Technol, Sch Econ & Management, Nanjing, Jiangsu, Peoples R China
来源：
2015 12TH INTERNATIONAL CONFERENCE ON SERVICE SYSTEMS AND SERVICE MANAGEMENT (ICSSSM) | 2015年
关键词：
GEM; PIN; Stock Excess Return; Turnover; Three-factor Model; BID-ASK SPREAD; LIQUIDITY;
D O I：
暂无
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
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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页数：5
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