Transaction Driving of Institutional Investors in Different Market Trends: Evidence from Trading Volume in China Stock Market

被引：0

作者：

Liu, Duan ^{[1
]}

Wei, Shiyun ^{[1
]}

机构：

[1] Hunan Univ, Coll Business Adm, Changsha 410082, Hunan, Peoples R China

来源：

EIGHTH WUHAN INTERNATIONAL CONFERENCE ON E-BUSINESS, VOLS I-III | 2009年

关键词：

overconfidence; disposition effect; institutional investors; VAR; impulse-response functions;

D O I：

暂无

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We investigate the inter-temporal interaction between trading volume and stock return of institutional investors in different market trends, in order to test how trading activities of institutional investors are driven. It indicates that overconfidence and deposition effects play a much stronger role in transaction driving of institutional investors in a rising market than in a declining market, and their effects are also more continuous in a rising market.

引用

页码：1349 / 1353

页数：5

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