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Daily analysis of institutional and individual trading and stock returns: evidence from China

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Whole thesis(518.15 KB)

Date

2010

Authors

Supervisor

Frijns, Bart

Item type

Thesis

Degree name

Master of Business

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

Source

DOI

Publisher's version

Rights statement

Permanent link

https://hdl.handle.net/10292/882

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Masters Dissertations