Institutional investor' proportions and inactive trading

被引：3
|
作者：
Wang, Jiarui [1 ]
Liu, Shancun [1 ]
Yang, Haijun [1 ,2 ,3 ]
机构：
[1] Beihang Univ, Sch Econ & Management, Beijing 100191, Peoples R China
[2] Beihang Univ, Beijing Adv Innovat Ctr Big Data & Brain Comp, Beijing 100191, Peoples R China
[3] Beihang Univ, Key Lab Complex Syst Anal Management & Decis, Minist Educ, Beijing 100191, Peoples R China
来源：
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS | 2022年 / 82卷
基金：
中国国家自然科学基金;
关键词：
Inactive trading measurement; Institutional investors' proportion; Ambiguity heterogeneous; PORTFOLIO INERTIA; AMBIGUITY; PARTICIPATION; INFORMATION; AVERSION;
D O I：
10.1016/j.irfa.2022.102207
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We focus on a typical market anomaly-inactive trading: trading volume shrinks while stock price abnormally jumps. We calibrate a theoretical model with variance ambiguity heterogeneous among investors and illustrate that ambiguity averse investors' proportions enhance trading volume shrinkage and abnormal price jumps. We provide a cross-section analysis of stocks' inactive trading by introducing institutional investors' proportions to measure investor structures' differences among stocks. We also empirically measure relative inactive trading for constituent stocks in S&P 500 from 2014 to 2019 and demonstrate that institutional investors' proportion is negatively related to inactive trading. Finally, we demonstrate that higher proportions of institutional investors lead to less inactive trading anomalies.
引用
收藏
页数：13
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