What kind of trading drives return autocorrelation?
This paper proposes new tests for the prediction of Llorente, Michaely, Saar, and Wang (2002) that information trading drives positive autocorrelation. Data from the Taiwan Stock Exchange is used to exploit the differences in the trading motivations of three groups of institutional investors. Consistent with the predictions, we find that heavy trading by foreigners and mutual funds will increase the autocorrelation particularly for large firms, and that heavy trading by dealers will not. We also find that the sell volume of mutual funds – short sales are disallowed by regulation – has significantly smaller effect on the autocorrelation of returns than buy volume. A portfolio strategy that exploits the observed autocorrelation pattern can generate a significantly positive daily return.
information trading allocation trading return autocorrelation short sale
Chun-Kuei Hsieh Shing-yang Hu
Department of Finance, National Taiwan University Department of Finance, National Taiwan University,Room 715, No. 85, Sec. 4, Roosevelt Road, Taipei,
国际会议
广州
英文
1-44
2009-07-07（万方平台首次上网日期，不代表论文的发表时间）