Frijns, BartLai, Qiang2010-05-102010-05-1020102010https://hdl.handle.net/10292/882This 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.enPrice pressureInformed tradingMomentum tradingInstitutional investorsIndividual investorsShanghai Stock ExchangeThesisOpenAccess2010-05-10