An empirical test of individual and institutional trading patterns in Japan, Hong Kong, and Taiwan

Yung-Jang Wang () and M. Walker ()

Journal of Economics and Finance, 2000, vol. 24, issue 2, 178-194

Abstract: We examine the pattern of daily stock returns in Japan, Hong Kong, and Taiwan. Our results support the information-processing hypothesis: Average returns on Monday are lower than on other days of the week, particularly when the previous trading day’s return is negative. Our results also support the positive-feedback-trading hypothesis: Daily returns exhibit positive autocorrelation, particularly when the previous trading day’s return is positive. Further analysis reveals that institutional investors (Japan), individual investors (Taiwan), or both (Hong Kong) can cause these patterns. Our findings are consistent with the relative importance of institutional and individual investors in each of these markets. Copyright Springer 2000

Date: 2000
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DOI: 10.1007/BF02752711

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