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

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aut.embargoNoen
aut.thirdpc.containsNo
aut.thirdpc.permissionNo
aut.thirdpc.removedNo
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
dc.date.updated2010-05-10T11:42:38Z
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.identifier.urihttps://hdl.handle.net/10292/882
dc.language.isoenen
dc.publisherAuckland University of Technology
dc.rights.accessrightsOpenAccess
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
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