An empirical test of individual and institutional trading patterns in Japan, Hong Kong, and Taiwan |
| |
Authors: | Yung-Jang Wang M Mark Walker |
| |
Institution: | (1) Department of Finance, National Chung Cheng University, Taiwan, R.O.C.;(2) School of Business Administration, University of Mississippi, 38677 University, MS |
| |
Abstract: | We examine the pattern of daily stock returns in Japan, Hong Kong, and Taiwan. Our results support the information-processing
hypothesis: Average returns on Monday are lower than on other days of the week, particularly when the previous trading day’s
return is negative. Our results also support the positive-feedback-trading hypothesis: Daily returns exhibit positive autocorrelation,
particularly when the previous trading day’s return is positive. Further analysis reveals that institutional investors (Japan),
individual investors (Taiwan), or both (Hong Kong) can cause these patterns. Our findings are consistent with the relative
importance of institutional and individual investors in each of these markets.
We thank three anonymous reviewers for helpful comments and suggestions. |
| |
Keywords: | |
本文献已被 SpringerLink 等数据库收录! |
|