Is the Relation Between Institutional Investor Trading and Stock Volatility Negative?

摘要：

　　Wei Li and Steven Shuye Wang 2010.Daily institutional trades and stock price volatility in a retail investor dominated emerging market.Journal of Financial Markets 13, 448-474 documents a significantly negative relation between stock volatility and institutional net trading in Shanghai Stock Exchange.We reexamine the relation between volatility and institutional trading in Taiwan Stock Exchange.Inconsistent with previous negative relation, our empirical analysis suggests a zero relation between institutional investor net trading and daily stock volatility although Taiwan and Shanghai are both retail investor dominated emerging markets.Although institutional buying or selling is negatively correlated with volatility for all stocks, this is not true except the largest stocks, indicating that the negative association between institutional buying or selling and volatility lies only in the largest stocks.

关键词： institutional investor volatility net trading buying selling

作者: Chen Zhijuan Ma Changfeng

作者单位: School of Finance, Zhejiang Gongshang University, Hangzhou, P.R.China, 310018

会议类型: 国际会议

会议名称: 2013 International Conference on Strategic Management(2013年战略管理国际会议)

会议地点: 成都

会议语种:英文

页码: 669-676

在线出版日期: 2013-12-15（万方平台首次上网日期，不代表论文的发表时间）