Price Comovement and Institutional Performance Following Large Market Movements

Anchor Y. Lin, Lin-Shang Huang and Mei-Yuan Chen

Emerging Markets Finance and Trade, 2007, vol. 43, issue 5, 37-61

Abstract: This paper investigates the price comovement of stocks actively traded by institutions and the investment performance of foreign and domestic institutional investors in Taiwan's stock markets during periods of large market movements. Stocks of small size, high share turnover, and high return volatility tend to move together with the market when markets rise sharply. In short-term holdings, foreign investors and domestic mutual funds can outperform the market by trading small-size, high-turnover, and high-volatility stocks.

Keywords: institutional investor; investment performance; large market movement; price comovement (search for similar items in EconPapers)
Date: 2007
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