Individual versus institutional investors and the weekend effect

被引：0
作者：
Brockman P. [1 ]
Michayluk D. [2 ]
机构：
[1] Department of Accountancy, Hong Kong Polytechnic University, Hung Hom, Kowloon
[2] Faculty of Commerce and Economics, University of New South Wales, School of Banking and Finance
来源：
Journal of Economics and Finance | 1998年 / 22卷 / 1期
关键词：
Individual investor; Information processing; Institutional investor; Weekend effect;
D O I：
10.1007/BF02823234
中图分类号：
学科分类号：
摘要：
Since the late 1980's, considerable research has focused on the behavior of individual versus institutional investors and the potential patterns which may emerge from their trading activities. Miller (1988) and Abraham and Ikenberry (1994) posit that the tendency for negative Monday returns on equity (i.e., the weekend effect) is at least partially explained by the trading behavior of individual investors. Sias and Starks (1995), on the other hand, present empirical evidence showing a dominant role played by institutional traders. This study contributes to the literature by distinguishing between individual versus institutional trading as it relates to the weekend effect. We find that the information-processing hypothesis is consistent with observed institutional trading patterns, thus supporting the results of Sias and Starks (1995). In addition, these results are shown to be robust with respect to market type (i.e., auction and dealer markets).
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页码：71 / 85
页数：14
相关论文
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