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This article examines the relation between average holding periods, stock illiquidity and investors' disposition effects in the Chinese stock markets between 1996 and 2003. The results show that Chinese investors' holding periods are longer for illiquid stocks and are inversely associated with past stock returns. Both relations are prevalent in the Shanghai and the Shenzhen A-share stock markets, which are dominated by individual investors. Nonetheless, relatively weak evidence is found in regards to the disposition effect in the B-shares markets, which are dominated by institutional investors.
