Daily institutional trades and stock price volatility in a retail investor dominated emerging market

被引：65

作者：

Li, Wei ^{[1
]}

Wang, Steven Shuye ^{[1
]}

机构：

[1] Hong Kong Polytech Univ, Sch Accounting & Finance, Kowloon, Hong Kong, Peoples R China

来源：

JOURNAL OF FINANCIAL MARKETS | 2010年 / 13卷 / 04期

关键词：

Volatility; Institutional trade; Information asymmetry; Herding; ORDER IMBALANCE; VOLUME RELATION; TRADING VOLUME; HERD BEHAVIOR; INFORMATION; IMPACT; RETURN; MODEL; TRANSACTIONS; PERFORMANCE;

D O I：

10.1016/j.finmar.2010.07.003

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine the short-run dynamic relation between daily institutional trading and stock price volatility in a retail investor-dominated emerging market. We find a significantly negative relation between volatility and institutional net trading that is mainly due to the unexpected institutional trading. The price volatility-institutional trade relation differs for institutional buys and institutional sells, and for small and large stocks. Institutional investors herd-trade in large stocks, but do not systematically engage in positive-feedback trading. We argue that the net impact of informational and noninformational institutional trades determines the relation between volatility and institutional trading, and that the relation is negative when informational trading by institutions prevails. (C) 2010 Elsevier B.V. All rights reserved.

引用

页码：448 / 474

页数：27

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