Daily analysis of institutional and individual trading and stock returns: evidence from China
aut.embargo | No | en |
aut.thirdpc.contains | No | |
aut.thirdpc.permission | No | |
aut.thirdpc.removed | No | |
dc.contributor.advisor | Frijns, Bart | |
dc.contributor.author | Lai, Qiang | |
dc.date.accessioned | 2010-05-10T22:53:01Z | |
dc.date.available | 2010-05-10T22:53:01Z | |
dc.date.copyright | 2010 | |
dc.date.issued | 2010 | |
dc.date.updated | 2010-05-10T11:42:38Z | |
dc.description.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. | |
dc.identifier.uri | https://hdl.handle.net/10292/882 | |
dc.language.iso | en | en |
dc.publisher | Auckland University of Technology | |
dc.rights.accessrights | OpenAccess | |
dc.subject | Price pressure | |
dc.subject | Informed trading | |
dc.subject | Momentum trading | |
dc.subject | Institutional investors | |
dc.subject | Individual investors | |
dc.subject | Shanghai Stock Exchange | |
dc.title | Daily analysis of institutional and individual trading and stock returns: evidence from China | |
dc.type | Thesis | |
thesis.degree.grantor | Auckland University of Technology | |
thesis.degree.level | Masters Dissertations | |
thesis.degree.name | Master of Business |