Institutional investor’ proportions and inactive trading |
| |
| Institution: | 1. School of Economics and Management, Beihang University, Beijing 100191, China;2. Beijing Advanced Innovation Center for Big Data and Brain Computing, Beihang University, Beijing 100191, China;1. Excelia Group, Excelia Business School, CERIIM, 102 Rue de Coureilles, 17024 La Rochelle, France;2. University Paris-Saclay, UMI SOURCE, UVSQ, IRD, France and Paris School of Business, PSB, 59 Rue Nationale, 75013 Paris, France;3. Rabat Business School, International University of Rabat, Rabat 11103, Morocco;4. Audencia Business School (AACSB, EQUIS, AMBA), France;1. School of Banking, University of Economics Ho Chi Minh City (UEH), 59C Nguyen Dinh Chieu, District 3, Ho Chi Minh City, Viet Nam;2. School of Business and Management, RMIT University Vietnam, 702 Nguyen Van Linh, District 7, Ho Chi Minh City, Viet Nam;3. Business School, University of the Fraser Valley, 33844 King Road, Office: C2423, V2S 7M8 Abbotsford, BC, Canada;1. School of Management, Xi''an Jiaotong University, No. 28 Xianning Road, Xi''an, Shaanxi 710049, China;2. School of Management, Huazhong University of Science and Technology, Luoyu Road 1037, Wuhan, Hubei 430074, China |
| |
| Abstract: | We focus on a typical market anomaly-inactive trading: trading volume shrinks while stock price abnormally jumps. We calibrate a theoretical model with variance ambiguity heterogeneous among investors and illustrate that ambiguity averse investors' proportions enhance trading volume shrinkage and abnormal price jumps. We provide a cross-section analysis of stocks' inactive trading by introducing institutional investors' proportions to measure investor structures' differences among stocks. We also empirically measure relative inactive trading for constituent stocks in S&P 500 from 2014 to 2019 and demonstrate that institutional investors' proportion is negatively related to inactive trading. Finally, we demonstrate that higher proportions of institutional investors lead to less inactive trading anomalies. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
