Institutional Investor Trading in a Short Investment Horizon: Evidence from the Korean Stock Market

被引：5

作者：

Chung, Chune Young ^{[1
]}

Liu, Chang ^{[2
]}

Wang, Kainan ^{[3
]}

机构：

[1] Chung Ang Univ, Coll Business & Econ, Sch Business Adm, 84 Heukseok Ro, Seoul 156756, South Korea

[2] Hawaii Pacific Univ, Coll Business Adm, Dept Financial Econ & Informat Syst, Honolulu, HI USA

[3] Univ Toledo, Dept Finance, Coll Business & Innovat, 2801 W Bancroft St, Toledo, OH 43606 USA

来源：

EMERGING MARKETS FINANCE AND TRADE | 2016年 / 52卷 / 04期

关键词：

daily trading data; emerging market; herding; institutional investors; investment performance; investment strategy; trading behaviors; INDIVIDUAL INVESTORS; PORTFOLIO PERFORMANCE; BEHAVIOR; OWNERSHIP; RETURNS; PRICES; IMPACT; PREFERENCES; STRATEGIES; PATTERNS;

D O I：

10.1080/1540496X.2015.1025648

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We examine the weekly trading activities of institutional investors in the Korean stock market. First, we find that average net trades by institutional investors this week are negatively related to one-week lagged returns, suggesting that they could be contrarian traders. Second, our finding shows that institutional investors' net trades this week are positively related to the net trades next week, consistent with persistent trading and/or herding behavior. Third, we find that institutional net trades are positively related to the post one-week returns. Finally, our findings are most pronounced in the group of short-term institutional investors.

引用

页码：1002 / 1012

页数：11

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