درباره : مالی رفتاری و مالی نوین, بازديد:
What Make Chinese Institutional and Individual Investors Trade Excessively?
Steven Shuye Wang, Wei Li, and Ping He
This version: March 28, 2007
A unique data set allows us to examine the institutional and individual investors’ buying and selling activities in the emerging Chinese stock market on a weekly basis. Specifically, we employ binary and multinomial logistic regressions to investigate the difference on determinants of institutional and individual trading activities. We find strong evidence that institution’s trading
exhibits a positive feedback pattern, while individual’s trading behavior is associated with a contrarian character. We also find institutions are more likely to have large excess selling in stocks with small market capitalizations while individuals are more likely to have large excess selling in stocks with large market capitalizations. Earnings per share have different impact on institutional and individual trading behaviors. Institutions tend to have large excessive buying in stocks with high EPS and large excessive selling in stocks with low EPS. Individuals prefer to trade, either buy or sell, excessively in stocks with high EPS and large excess selling pattern is more apparent. Finally, individual investors are more likely to trade excessively stocks with low return volatility, while no obvious pattern is found for institutional investors.
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نوشته شده در: جمعه 13 مرداد 1391 ساعت: 20:23 توسط محمد هنرمند قالیباف |