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dc.contributor.advisorFrijns, Bart
dc.contributor.authorLai, Qiang
dc.date.accessioned2010-05-10T22:53:01Z
dc.date.available2010-05-10T22:53:01Z
dc.date.copyright2010
dc.date.issued2010-05-10T22:53:01Z
dc.identifier.urihttp://hdl.handle.net/10292/882
dc.description.abstractThis dissertation examines the impact of institutional (and individual) trading on stock prices in China. Previous literature suggests three alternative hypotheses for this impact: price pressure, informed trading, and momentum trading, but has so far not been able to distinguish between them. Using a unique dataset that contains detailed daily institutional and individual ownership information for all Shanghai Stock Exchange stocks in China, I am able to examine the important relation between daily aggregate institutional (individual) trading and past, contemporaneous, and future stock returns at a daily level. I find strong evidence of price pressure, informed trading, and momentum trading of institutional investors. These findings have important implications for the efficiency of the financial market.
dc.language.isoenen
dc.publisherAuckland University of Technology
dc.subjectPrice pressure
dc.subjectInformed trading
dc.subjectMomentum trading
dc.subjectInstitutional investors
dc.subjectIndividual investors
dc.subjectShanghai Stock Exchange
dc.titleDaily analysis of institutional and individual trading and stock returns: evidence from China
dc.typeThesis
thesis.degree.grantorAuckland University of Technology
thesis.degree.levelMasters Dissertations
thesis.degree.nameMaster of Business
dc.rights.accessrightsOpenAccess
dc.date.updated2010-05-10T11:42:38Z


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