 Systematic trading behaviour and its informational effect: evidence from the OMXHApplied Financial Economics, 2014, vol. 24, issue 22, 1421-1427 Abstract: By using signed small trade turnover (SSTT) as a proxy of investors' systematic trading behaviour and permanent price effect (PPE) as a proxy for informed trading, this article investigates the short-term outperformance of high SSTT stocks for categories of investors on the NASDAQ OMX Helsinki (OMXH) and whether the outperformance is best understood in the context of investor trading behaviour or informed trading. This study finds that the trading of high SSTT stocks is associated with a lower PPE than the trading of low SSTT stocks, which implies that the trading of high SSTT stocks is less informed than the trading of low SSTT stocks, and that the short-term outperformance of high SSTT stocks relative to low SSTT stocks is best explained within the behavioural finance framework, that is, by investors' bias towards popular stocks proxied by SSTT, and not within the rational framework, that is, by informed trading proxied by the PPE. These findings are economically and statistically significant for all types of investors. Date: 2014 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:24:y:2014:i:22:p:1421-1427 Ordering information: This journal article can be ordered from DOI: 10.1080/09603107.2014.925067 Access Statistics for this article Applied Financial Economics is currently edited by Anita Phillips More articles in Applied Financial Economics from Taylor & Francis Journals |
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