Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/16752
Title: Daily institutional trades and stock price volatility in a retail investor dominated emerging market
Authors: Li, W
Wang, SS
Keywords: G1
G12
G23
Herding
Information asymmetry
Institutional trade
Volatility
Issue Date: 2010
Publisher: Elsevier Science Bv
Source: Journal of financial markets, 2010, v. 13, no. 4, p. 448-474 How to cite?
Journal: Journal of Financial Markets 
Abstract: We examine the short-run dynamic relation between daily institutional trading and stock price volatility in a retail investor-dominated emerging market. We find a significantly negative relation between volatility and institutional net trading that is mainly due to the unexpected institutional trading. The price volatility-institutional trade relation differs for institutional buys and institutional sells, and for small and large stocks. Institutional investors herd-trade in large stocks, but do not systematically engage in positive-feedback trading. We argue that the net impact of informational and noninformational institutional trades determines the relation between volatility and institutional trading, and that the relation is negative when informational trading by institutions prevails.
URI: http://hdl.handle.net/10397/16752
DOI: 10.1016/j.finmar.2010.07.003
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