Whose Trades Move Stock Prices? Evidence from the Taiwan Stock Exchange

• Main Authors: LIN,ZONG-WEI, 林宗緯
• Other Authors: HUNG, PI-HSIA
• Format: Others
• Language: en_US
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/99826y

碩士 === 國立暨南國際大學 === 財務金融學系 === 104 === Even though many existing studies have discussed on the link between investors’ trading behavior and stock price changes in developed markets, the price contribution across investor types is so far unclear, particularly in emerging markets. By analyzing firms listed on the Taiwan Stock Exchange, we examine whose trades move stock prices. We first investigate the weighted price contribution across investor types. Then, we explore whether various investors’ order submission behavior affect the price contribution. Finally, we use the vector autoregression to model the joint dynamics and causal relations among stock return, individual and institutional trading volume. Our empirical results show that institutional weighted price contribution accounts for more 90%, even although individuals are dominant participants on the Taiwan Stock Exchange. Domestic institutions contribute more price movement than do foreign investors. Compared with individuals, institutional investors’ trading is associated to information-based trading and considerably moves stock prices. Particularly, foreign investors’ more aggressive orders and mutual funds’ larger trades show larger price contribution on stock return. Finally, the lagged institutional trading volume effects both stock return and individual trading volume most.