Please note that Internet Explorer version 8. Please refer to this blog post for more information. We investigate the daily dynamic relation between returns and institutional and individual trades in the emerging Chinese stock market.

The dynamics of individual and institutional trading on the Shanghai Stock Exchange | PolyU Institutional Research Archive

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.

The Dynamics of Individual and Institutional Trading on the Shanghai Stock Exchange by Bong-Soo Lee, Wei Li, Steven Shuye Wang :: SSRN

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Pacific-Basin Finance Journal Volume 18, Issue 1 , January , Pages The dynamics of individual and institutional trading on the Shanghai Stock Exchange. Author links open the author workspace. Opens the author workspace Opens the author workspace a. Numbers and letters correspond to the affiliation list. Click to expose these in author workspace Wei Li.

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Click to expose these in author workspace Steven Shuye Wang. Click to expose these in author workspace 2. Click to expose these in author workspace a Department of Finance, College of Business, Florida State University, Tallahassee, FL , USA b School of Accounting and Finance, Hong Kong Polytechnic University, Kowloon, Hong Kong, China. Abstract We investigate the daily dynamic relation between returns and institutional and individual trades in the emerging Chinese stock market.

Institutional and individual trading. Check if you have access through your login credentials or your institution.

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