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    政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 >  Item 140.119/120635
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/120635

    Title: Trading patterns of big versus small players in an emerging market: An empirical analysis
    Authors: Lee, Yi-Tsung
    Lin, Ji-Chai
    Liu, Yu-Jane
    Contributors: 財管系
    Date: 1999-05
    Issue Date: 2018-10-19 17:33:55 (UTC+8)
    Abstract: 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.
    Relation: JOURNAL OF BANKING & FINANCE, 23(5), 701-725
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1016/S0378-4266(98)00116-2
    DOI: 10.1016/S0378-4266(98)00116-2
    Appears in Collections:[財務管理學系] 期刊論文

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