Abstract
Basing on the return rate monthly Effect, the informed trading probability was combined with return rate for research in sight of market structure, and percentage monthly risk-adjusted return using Fama and French three-factor model, regressing the multi-factor on two-stage. PIN of September is the lowest in the year, showing negative relationship with percentage monthly return, the result is different with empirical results in foreign market. Impact factors for PIN monthly effect are analyzed including size of company, liquidity risk.
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Acknowledgment
At first, I thank my teacher Professor Chun-feng Wang, he guide me to research the subject and perfect the paper constantly. As well as I thank my mates, they give good suggestions to the research and help me a lot during the difficult courses of the paper.
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Li, Jy., Fang, Zm. (2014). Research of the Informed Trading Probability Monthly Effect in Chinese Stock Market. In: Qi, E., Shen, J., Dou, R. (eds) Proceedings of 2013 4th International Asia Conference on Industrial Engineering and Management Innovation (IEMI2013). Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-40060-5_35
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DOI: https://doi.org/10.1007/978-3-642-40060-5_35
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