The contrarian strategy of institutional investors in Chinese stock market

被引：19
|
作者：
Wen, Fenghua [1 ,2 ]
Zou, Qian [1 ]
Wang, Xiong [1 ]
机构：
[1] Cent South Univ, Sch Business, Changsha 410083, Peoples R China
[2] Univ Windsor, Fac Engn, Supply Chain & Logist Optimizat Res Ctr, Windsor, ON, Canada
来源：
FINANCE RESEARCH LETTERS | 2021年 / 41卷
基金：
中国国家自然科学基金;
关键词：
Institutional investor; Contrarian strategy; Market states; Predictive ability; MOMENTUM; BEHAVIOR;
D O I：
10.1016/j.frl.2020.101845
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Employing quarterly data of the change in institutional investors' ownership, we investigate institutional behavior in Chinese stock market. The empirical results show that Chinese institutional investors generally adopt contrarian strategy, which is inconsistent with most studies. In particular, institutional investors are more inclined to show contrarian trading behavior in up markets. Furthermore, we find that the trading activities of institutional investors can positively predict future stock returns.
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收藏
页数：6
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