The Dynamics of Institutional and Individual Trading
The Dynamics of Institutional and Individual Trading
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DOI：
10.2139/ssrn.316566
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发表时间：
2002-05
期刊：
影响因子：
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通讯作者：
J. Griffin;Selim Topaloglu;J. Harris
中科院分区：
文献类型：
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作者：
J. Griffin;Selim Topaloglu;J. Harris
我们研究了纳斯达克100证券的股票收益与机构和个人投资者交易之间的日内和日内横截面关系。根据前一天的股票回报，表现最好的十进制证券被机构净买入(和个人出售)的可能性比表现最差的十进制证券高23.9%。同期强劲的每日模式在很大程度上可以通过机构(个人)在过去日内超额股票回报(或与之相关的消息)之后进行正(负)交易来解释。相比之下，回报可预测性和价格压力的证据在经济上微乎其微。版权所有2003年，美国金融协会。
We study the daily and intradaily cross-sectional relation between stock returns and the trading of institutional and individual investors in Nasdaq 100 securities. Based on the previous day's stock return, the top performing decile of securities is 23.9% more likely to be bought in net by institutions (and sold by individuals) than those in the bottom performance decile. Strong contemporaneous daily patterns can largely be explained by net institutional (individual) trading positively (negatively) following past intradaily excess stock returns (or the news associated therein). In comparison, evidence of return predictability and price pressure are economically small. Copyright 2003 by the American Finance Association.