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INSTITUTIONAL TRADING AND OPENING PRICE BEHAVIOR: EVIDENCE FROM A FAST‐EMERGING MARKET
Authors:Chaoshin Chiao  Weifeng Hung  Cheng F Lee
Institution:1. National Dong Hwa University, Taiwan;2. Feng Chia University, Taiwan;3. Rutgers University
Kainan University, Taiwan
Abstract:Using daily and intraday data, we investigate the cross‐sectional relation between stock prices and institutional trading in the Taiwan stock market. Consistent with the investigative herding hypothesis, we find that institutional herding exists because of institutional positive feedback trading behavior rather than following trades made by other institutions, as suggested by the information cascade hypothesis. Moreover, the positive correlation between institutional trade imbalance and stock returns mainly comes from institutional positive feedback trading. The institutional trading decisions rely on returns measured not only over the lagged trading day but also over the opening session during the same day.
Keywords:G10  G14  G15  G18
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