The Informative Content of the Net-Buy Information of Institutional Investors: Evidence from the Taiwan Stock Market

Chaoshin Chiao () and Ko-I Lin
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Chaoshin Chiao: Department of Finance, National Dong Hwa University, Haulien, Taiwan, ROC
Ko-I Lin: Institute of International Economics, National Dong Hwa University, Haulien, Taiwan, ROC

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2004, vol. 07, issue 02, 259-288

Abstract: This paper studies the informative content of the NB (net-buy) information of institutional investors, including foreign investors (FIs), security investment trust companies (SITCs), and security dealers (SDs), in the Taiwan stock market. First, with/without considering prevailing market frictions, the investment strategies based on the NB trading volume and dollar trading volume of SITCs, outperform the market and those strategies based on those of FIs and SDs. Second, on average, institutional investors trade mostly large and growth stocks. Third, evidence supports negative leading roles of the aggregate/disaggregate NB dollar trading volumes of FIs over those of SITCs.

Keywords: Net-buy stocks; net-sell stocks; institutional investors; JEL Classification G11; JEL Classification G24 (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (1)

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DOI: 10.1142/S0219091504000123

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