trading_behavior_of_institutions_and_individuals_in_Chinese_equity_markets

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1、JournalofBanking&Finance31(2007)2695–2710www.elsevier.com/locate/jbfThetradingbehaviorofinstitutionsandindividualsinChineseequitymarketsa,1b,*LilianNg,FeiWuaUniversityofWisconsin-Milwaukee,SheldonB.LubarSchoolofBusiness,P.O.Box0742,WI53201-0742,UnitedStatesbMasseyUniversity,Departmen

2、tofFinance,BankingandProperty,PalmerstonNorth,NewZealandReceived21September2005;accepted30October2006Availableonline31January2007AbstractThispaperemploysauniquedatasettoanalyzethetradingbehaviorof4.74millionindividualandinstitutionalinvestorsacrossMainlandChina.Resultsshowthatgroupso

3、findividualinvestorswithvaryingtradevalues(asproxiesforwealthlevels)engageindifferenttradingstrategies.Chineseinstitutionsaremomentuminvestors,whilelesswealthyChineseindividualinvestorsatlargearecontrarianinvestors.TheresultsalsoindicatethatasmallgroupofwealthiestChineseindividualsten

4、dtobehavelikeinstitutionswhentheybuystocks,andbehavelikelesswealthyindividualswhentheysell.Furthermore,onlythetradingactivitiesofinstitutionsandofwealthiestindividualscanaffectfuturestockvolatility,butthoseofChineseindividualinvestorsatlargehavenopredictivepowerforfuturestockreturns.Ó

5、2007ElsevierB.V.Allrightsreserved.JELclassification:G11;G15Keywords:Tradingbehavior;Momentumandcontrarianstrategies;Stockvolatility*Correspondingauthor.Tel.:+6463505799x4744;fax:+6463505651.E-mailaddresses:lng@uwm.edu(L.Ng),f.wu@massey.ac.nz(F.Wu).1Tel.:+14142295925;fax:+14142296957.0

6、378-4266/$-seefrontmatterÓ2007ElsevierB.V.Allrightsreserved.doi:10.1016/j.jbankfin.2006.10.0292696L.Ng,F.Wu/JournalofBanking&Finance31(2007)2695–27101.IntroductionFinancialeconomistsareoftenintriguedbythetradingbehaviorofinstitutionalandindividualinvestorsinfinancialmarkets.Therecentav

7、ailabilityofmoreproprietarydatahasaffordedresearcherstheopportunitytoempiricallyexaminetheissue.Muchoftheevi-denceshowsthatpastpriceperformancesignificantlyinfluenceshowinstitutionsandindi-vidualstrade.Existingfindingsindicatethatinstitutionsandindividualsdiffersystematicallyintheirreacti

8、onstopastpri