The Dynamics of Institutional And Individual Trading  

Oleh:

Griffin, John M. ; Harris, Jeffrey H. ; Topaloglu, Selim

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 58 no. 6 (2003), page 2285-2320.
Topik: trading; studies; rates of return; securities markets; correlation analysis; NASDAQ trading; institutional investments; investment policy
Fulltext: p 2285.pdf (432.67KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We study the daily and intradaily cross - sectional relation between stock returns and the trading of institutional and individual investors in nasdaq 100 securities. Based on the previous day's stock return, the top performing decile of securities is 23,9% more likely to be bought in net by institutions (and sold by individuals) than those in the bottom performance decile. Strong contemporaneous daily patterns canlargely be explained by net institutional (individual) trading positively (negatively) following past intradaily excess stock returns (or the news associated therein). In comparison, evidence of return predictability and price pressure are econmically small.

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