Institutional trading in volatile markets: Evidence from Chinese stock markets

被引：3
|
作者：
Darby, Julia [1 ]
Zhang, Hai [2 ]
Zhang, Jinkai [1 ]
机构：
[1] Univ Strathclyde, Strathclyde Business Sch, Dept Econ, Glasgow, Lanark, Scotland
[2] Univ Strathclyde, Strathclyde Business Sch, Dept Accounting & Finance, Glasgow, Lanark, Scotland
来源：
PACIFIC-BASIN FINANCE JOURNAL | 2021年 / 65卷
关键词：
Extreme market swings; Price limits; Cash flow; Institutional trading behaviour; PROSPECT-THEORY; DISPOSITION; INVESTORS; IMPACT; LIQUIDATION; RETURNS; INFLOW;
D O I：
10.1016/j.pacfin.2020.101484
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We investigate the daily stock returns of all A-shares listed on the Shanghai and Shenzhen stock exchanges over the period 2010-2017. Using daily cash flow data on the largest category of trades by value, we construct a proxy for high-value institutional trading activity. We demonstrate that high-value institutional transactions consistently exacerbate firm-level abnormal stock returns on extreme market movement days. We then highlight the conflating influence of regulator imposed daily limits on firm-level stock price movements and conclude that binding price limits act to exacerbate the destabilizing effects associated with high-value institutional trades in Chinese stock markets.
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页数：27
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