Anomalies and Heterogeneity of China Stock Markets in the Financial Crisis

Abstract

Study on anomalies in financial markets is a hot Issue in recent years. Especially with the processes of behavioral finance, researches on investors' heterogeneities become more important. This paper analyzes financial anomalies exiting in China markets, as economies in transition and emerging markets, during the financial crisis. We find the existence of some financial anomalies in China stock markets such as "April effects". However, some anomalies founded abroad don't show in China. Behavioral finance theory is used to analyze the investors' heterogeneity in China market, finding significant Conformability, Overconfidence and Policy guidance, which will have positive significance for further development of China stock markets.

ARIMA Modeling with Intervention to Forecast and Analyze Chinese Stock Prices

“…The history discussed is of the twentieth century and not the twenty-first century. Others (Eun and Huang, 2007; Ng and Wu, 2007; Shenoy and Ying, 2007, Weili et al , 2009, Wang et al , 2004 and Wang et al , 2007) investigated the rapid growth in the Chinese equity markets and why they became increasing important for investors in global markets. In addition, Bailey, Cai, Cheung and Wang (2006) studied the Shanghai Equity Market and discovered some characteristics concerning order balances of individuals, and institutional investors.…”