Institutional Trading and Stock Return Autocorrelation PDF Download
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Author: Bartosz Gebka
Publisher:
ISBN:
Category : Institutional investments
Languages : en
Pages : 56
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Book Description
Author: Bartosz Gebka
Publisher:
ISBN:
Category : Institutional investments
Languages : en
Pages : 56
Get Book Here
Book Description
Author: Bartosz Gebka
Publisher:
ISBN:
Category : Institutional investments
Languages : en
Pages : 0
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Book Description
Author: Bartosz Ge̜bka
Publisher:
ISBN:
Category : Institutional investments
Languages : en
Pages : 16
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Author: Vicentiu Covrig
Publisher:
ISBN:
Category :
Languages : en
Pages : 31
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Book Description
This study investigates whether the widely documented daily correlated trading volume of stocks is driven by individual investor trading, institutional trading, or both. We find that at least 95 percent of NYSE and AMEX stocks exhibit statistically significant, positive serial correlation. Volume autocorrelation decreases with the level of institutional ownership of a stock. We also show that the rate of arrivals of new information to the market contributes to the clustering of the trades. When there is high information flow to the market, institutional trading generates a more pronounces effect on volume autocorrelation than individual investor trading. Our results are broadly consistent with the predictions of trading volume patterns suggested by most theoretical models of stock trading and by empirical research on investor trading.
Author: Fang Cai
Publisher:
ISBN:
Category :
Languages : en
Pages : 19
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Book Description
In this study, we explore the dynamics of the relation between institutional trading and stock returns. We find that stock returns Granger-cause institutional trading (especially purchases) on a quarterly basis. The robust and significant causality from equity returns to institutional trading can be largely explained by the time-series variation of market returns, that is, institutions buy more popular stocks after market rises. Stock returns appear to be negatively related to lagged institutional trading. An analysis of the behavior of trading and the returns of the traded stocks reveals evidence that stocks with heavy institutional buying (selling) experience positive (negative) excess returns over the previous 12 months.
Author: Tom E. Thomas
Publisher:
ISBN:
Category :
Languages : en
Pages : 66
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Author: Richard W. Sias
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
This study examines serial correlation in daily portfolio returns for securities held primarily by individual investors versus securities held primarily by institutional investors. The results implicate institutional investors as the primary source of positive serial correlation in portfolio returns. Both own- and cross-autocorrelations are higher for the securities in which institutional investors play a greater role. The results are not consistent with pricing error corrections by market makers, non-synchronous trading or transaction costs as the major cause of the observed positive autocorrelations in daily portfolio returns. The results are most consistent with the autocorrelations being caused by the correlated trading patterns of institutional investors due to such activities as herding, momentum investing or other positive-feedback trading strategies.
Author: William J. Atkinson
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 40
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Author: Elroy Dimson
Publisher: CUP Archive
ISBN: 9780521341042
Category : Business & Economics
Languages : en
Pages : 328
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Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
In this thesis, I investigate diverse aspects of capital market efficiency in selected emerging markets. In chapter 2, the focus of analysis is on the role of trading volume and capitalisation in the process of information absorption by the stock prices. Empirical analysis is conducted for stocks listed on the Warsaw Stock Exchange (WSE) and it can be shown that stocks with higher trading volume and larger capitalisation adjust to common information quicker than their low volume, small capitalisation counterparts. In chapter 3, a dynamic relationship between trading volume and subsequent stock returns is investigated. The results are interpreted in light of existing theoretical models. It is argued that empirical evidence indicates that most of the trades on the WSE are conducted due to liquidity needs or changing preferences of investors, and are not driven by arrivals of private information. The impact of institutional investors on market efficiency is investigated in chapter 4. This analysis is based on diverse theoretical models, most of which arguing that institutional trading deteriorates market efficiency by increasing autocorrelation in stock returns. However, an empirical investigation conducted for WSE stocks traded most intensively by pension funds reveals that the impact of institutional trading on market efficiency is beneficial. Namely, stocks traded by institutions are characterised by lower autocorrelation than the remaining ones, which indicates their quicker adjustment to news and, hence, higher efficiency. Last, we analyse international financial spillovers in chapter 4. For the US and eight Asian markets, it is investigated whether, and to what extent, news originating in one country are incorporated into security prices abroad. The main result of this empirical work is that the US market leads the Asian ones. However, under certain conditions such as exceptionally high volatility or low returns, Asian markets might exert significant influence on.
