INSTITUTIONAL TRADING AND OPENING PRICE BEHAVIOR: EVIDENCE FROM A FAST‐EMERGING MARKET
INSTITUTIONAL TRADING AND OPENING PRICE BEHAVIOR: EVIDENCE FROM A FAST‐EMERGING MARKET
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机构交易和开盘价行为：来自快速新兴市场的证据
DOI：
10.1111/j.1475-6803.2010.01276.x
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发表时间：
2011
影响因子：
3.5
通讯作者：
Cheng
中科院分区：
文献类型：
--
作者：
C. Chiao;Weifeng Hung;Cheng
本研究以台湾股票市场为研究对象，利用日交易与日内交易资料，探讨股票价格与机构投资者交易行为之横截面关系。与调查性羊群效应假说一致，我们发现，机构羊群效应的存在是因为机构的正反馈交易行为，而不是像信息级联假说所建议的那样跟随其他机构的交易。此外，机构交易失衡与股票收益率的正相关关系主要来自机构正反馈交易。机构交易决策不仅依赖于滞后交易日的收益，而且依赖于同一天的开盘交易日的收益。
Using daily and intraday data, we investigate the cross-sectional relation between stock prices and institutional trading in the Taiwan stock market. Consistent with the investigative herding hypothesis, we find that institutional herding exists because of institutional positive feedback trading behavior rather than following trades made by other institutions, as suggested by the information cascade hypothesis. Moreover, the positive correlation between institutional trade imbalance and stock returns mainly comes from institutional positive feedback trading. The institutional trading decisions rely on returns measured not only over the lagged trading day but also over the opening session during the same day.