Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/18044
Title: The dynamics of individual and institutional trading on the Shanghai Stock Exchange
Authors: Lee, BS
Li, W
Wang, SS
Keywords: Emerging market
Granger causality
Institutional and individual trading
Stock returns
Issue Date: 2010
Publisher: North-Holland
Source: Pacific basin finance journal, 2010, v. 18, no. 1, p. 116-137 How to cite?
Journal: Pacific basin finance journal 
Abstract: We investigate the daily dynamic relation between returns and institutional and individual trades in the emerging Chinese stock market. Consistent with the hypotheses of trend-chasing and attention-grabbing trading, we find that the response of individual trading to return shocks is much stronger than that of institutional trading, and individuals are net buyers following return shocks. Second, we find that past individual buys and sells have predictive power, whereas past institutional buys and sells have predictive power for market returns in longer horizons. However, both institutional and individual trading activities are more strongly related to past trades than past returns, and individual trading is also influenced by institutional trading. Moreover, we find that institutional trading in the largest quintile leads the trading in the smallest quintile, but no such lead-lag relation is found for individual trades. Finally, we find that the average cumulative abnormal trading volume of individuals is much larger than that of institutions around the firms' earnings announcement, suggesting that less-informed individual investors are more heavily influenced by firm-specific information disclosures and attention-grabbing events.
URI: http://hdl.handle.net/10397/18044
ISSN: 0927-538X
DOI: 10.1016/j.pacfin.2009.09.002
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