The Impact of Mutual Fund Investment Trading on Stock Prices: Evidence from the Chinese Stock Market

被引：0
|
作者：
Li, Kun [1 ]
Zhou, Bo [1 ]
Hu, Die [1 ]
机构：
[1] Sichuan Univ, Sch Business, Chengdu 610065, Peoples R China
来源：
PROCEEDINGS OF THE NINTH INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE AND ENGINEERING MANAGEMENT | 2015年 / 362卷
关键词：
Price impact; Mutual funds; Momentum trading; Price pressure; PERFORMANCE; RETURNS;
D O I：
10.1007/978-3-662-47241-5_58
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
This paper examines the impact of mutual fund trading on stock prices in the Chinese equity market from 2004 to 2013. We have found that there is a strong positive contemporaneous correlation between stock returns and mutual fund holdings and trading. In addition, the price impact is more significant in mutual funds buying than in mutual funds selling. Finally, our findings support the hypothesis that the price impact of mutual fund holdings and trading on stock returns arise from momentum trading or price pressure.
引用
收藏
页码：681 / 695
页数：15
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