... strategy by blending technical analysis into a liquidity buy-and-hold strategy. Findings Our results show that the combined strategy generates significant excess returns in the whole sample period, suggesting that the Chinese stock market is not consistent with the weak form efficient hypothesis...

... only (2) r 7 , t = α + β r 6 , t + ϵ t (3) r 8 , t = α + β r 7 , t + ϵ t Last hour momentum Intraday prediction Chinese stock market Exchange-traded fund Information trading G11 G14 G17 As the second...

... of individual stocks is much larger than the short-term yield skewness. While in China, the annual yield skewness is smaller than the monthly yield skewness, possibly because the fact that “short bull but long bear” of the Chinese stock market, indicating that even in the long run it is still less likely...

...-use rights only Downside risk Chinese stock market Economic policy uncertainty G11 G12 G15 It is well recognized that sudden changes in economic policy uncertainty (EPU) will produce harmful effects on macroeconomic activity and cause financial market instability (Bloom, 2009...

... collected from 541 individual investors of the Chinese stock market. To overcome the potential endogeneity bias, the authors followed two-stage least square method for estimating endogenous covariate by employing instrumental variable analysis. The authors performed probit regression to evaluate...