Institutional Investors Trading Strategies and Stock Returns in Taiwan Stock Market

碩士 === 國立東華大學 === 會計與財務金融碩士學位學程 === 98 === Applying daily volume of executed orders in the Taiwan Stock Exchange, this paper assesses the relation between institutional trading strategies and stock returns. To distinguish the institutional behaviors, we decompose the buy-sell imbalance (BSI) into th...

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Bibliographic Details
Main Authors: Jia-Hua Li, 李家華
Other Authors: Chao-Shin Chiao
Format: Others
Language:zh-TW
Published: 2010
Online Access:http://ndltd.ncl.edu.tw/handle/91307379899329765430
Description
Summary:碩士 === 國立東華大學 === 會計與財務金融碩士學位學程 === 98 === Applying daily volume of executed orders in the Taiwan Stock Exchange, this paper assesses the relation between institutional trading strategies and stock returns. To distinguish the institutional behaviors, we decompose the buy-sell imbalance (BSI) into the (aggressive) marketable order imbalance (MOI) and the executed (patient) nonmarketable order imbalance (ENMOI) . As a result, the three proposed imbalances are correlated with future returns. With and without controlling for stock characteristics, mutual funds’ strategies exhibit the best predicting power than foreign investors’ and securities dealers’, regardless of on selected bases. Securities dealers’ strategies predict future returns on large-size portfolios, based on ENMOI.