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題名 Trading patterns of big versus small players in an emerging market: An empirical analysis
作者 Lee, Yi-Tsung
Lin, Ji-Chai
Liu, Yu-Jane
貢獻者 財管系
日期 1999-05
上傳時間 19-Oct-2018 17:33:55 (UTC+8)
摘要 This study uses a Vector Autoregressive (VAR) model to examine interdependencies among institutional investors, big individual investors, and small individual investors, and the effects of their trading on stock returns on the Taiwan Stock Exchange (TSE). The results imply that, during the sample period, big individual investors are the most well informed players; their trading affects not only stock returns but also small individual investors. Small individual investors are not well informed and are slow learners. Their orders to trade tend to provide liquidity to institutional and big individual investors, but there is no compensation for their liquidity services. We find that institutional investors follow neither positive-feedback nor negative-feedback trading strategies. Overall, the responses to shocks, except for those of small individual investors, decay quickly, indicating that the TSE can absorb shocks quickly and efficiently. Our analysis implies that small individual investors would be better off institutionalizing their investment decisions (e.g., by investing in mutual funds). (C) 1999 Elsevier Science B.V. All rights reserved.
關聯 JOURNAL OF BANKING & FINANCE, 23(5), 701-725
資料類型 article
DOI http://dx.doi.org/10.1016/S0378-4266(98)00116-2
dc.contributor 財管系
dc.creator (作者) Lee, Yi-Tsung
dc.creator (作者) Lin, Ji-Chai
dc.creator (作者) Liu, Yu-Jane
dc.date (日期) 1999-05
dc.date.accessioned 19-Oct-2018 17:33:55 (UTC+8)-
dc.date.available 19-Oct-2018 17:33:55 (UTC+8)-
dc.date.issued (上傳時間) 19-Oct-2018 17:33:55 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/120635-
dc.description.abstract (摘要) This study uses a Vector Autoregressive (VAR) model to examine interdependencies among institutional investors, big individual investors, and small individual investors, and the effects of their trading on stock returns on the Taiwan Stock Exchange (TSE). The results imply that, during the sample period, big individual investors are the most well informed players; their trading affects not only stock returns but also small individual investors. Small individual investors are not well informed and are slow learners. Their orders to trade tend to provide liquidity to institutional and big individual investors, but there is no compensation for their liquidity services. We find that institutional investors follow neither positive-feedback nor negative-feedback trading strategies. Overall, the responses to shocks, except for those of small individual investors, decay quickly, indicating that the TSE can absorb shocks quickly and efficiently. Our analysis implies that small individual investors would be better off institutionalizing their investment decisions (e.g., by investing in mutual funds). (C) 1999 Elsevier Science B.V. All rights reserved.en_US
dc.format.extent 198905 bytes-
dc.format.mimetype application/pdf-
dc.relation (關聯) JOURNAL OF BANKING & FINANCE, 23(5), 701-725
dc.title (題名) Trading patterns of big versus small players in an emerging market: An empirical analysisen_US
dc.type (資料類型) article
dc.identifier.doi (DOI) 10.1016/S0378-4266(98)00116-2
dc.doi.uri (DOI) http://dx.doi.org/10.1016/S0378-4266(98)00116-2