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The Chinese Warrants Bubble: Evidence from Brokerage Account Records

Pearson, N.D.; Yang, Z.; Zhang, Q

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Authors

N.D. Pearson

Z. Yang

Q Zhang



Abstract

We use brokerage account records to study trading during the Chinese put warrants bubble and find evidence consistent with extrapolative theories of speculative asset price bubbles. We identify the event that started the bubble and show that investors engaged in a form of feedback trading based on their own past returns. The interaction of feedback trading with the precipitating event caused additional buying and price increases in a feedback loop, and estimates of the trading volume due to this mechanism explain prices and returns during the bubble.

Citation

Pearson, N., Yang, Z., & Zhang, Q. (2020). The Chinese Warrants Bubble: Evidence from Brokerage Account Records. The Review of Financial Studies, 34(1), 264-312. https://doi.org/10.1093/rfs/hhaa037

Journal Article Type Article
Acceptance Date Jan 5, 2020
Online Publication Date Mar 25, 2020
Publication Date 2020
Deposit Date Jan 6, 2020
Publicly Available Date Mar 28, 2024
Journal Review of Financial Studies
Print ISSN 0893-9454
Electronic ISSN 1465-7368
Publisher Oxford University Press
Peer Reviewed Peer Reviewed
Volume 34
Issue 1
Pages 264-312
DOI https://doi.org/10.1093/rfs/hhaa037
Public URL https://durham-repository.worktribe.com/output/1311033

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