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.

引用

页数：27

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