Daily analysis of institutional and individual trading and stock returns: evidence from China
Date
Authors
Lai, Qiang
Supervisor
Frijns, Bart
Item type
Thesis
Degree name
Journal Title
Journal ISSN
Volume Title
Publisher
Auckland University of Technology
Abstract
This 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.Description
Keywords
Price pressure, Informed trading, Momentum trading, Institutional investors, Individual investors, Shanghai Stock Exchange