The Informative Content of the Net-Buy Information of Institutional Investors in the Taiwan Stock Market: A Revisit Using Conditional Analysis

Chaoshin Chiao (), David C. Cheng () and Yunju Shao ()
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Chaoshin Chiao: Department of Finance, National Dong Hwa University, Hualien, Taiwan, ROC
David C. Cheng: Department of International Business, National Dong Hwa University, Hualien, Taiwan, ROC
Yunju Shao: Union Bills Finance Co., Ltd., Taipei, Taiwan, ROC

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2006, vol. 09, issue 04, 661-697

Abstract: Chiao and Lin (2004) argue that the strategies following the investment pace of security investment trust companies (SITCs) are more profitable than the market and those following foreign investors (FIs) and security dealers (SDs) in the Taiwan stock market. We reexamine their results under various market events and economic states. Employing the close-to-close returns, our results are mostly consistent with Chiao and Lin (2004) except that, during the period of economic recovery, following FIs is more profitable. However, employing the open-to-close returns and considering transaction costs, none of the strategies are profitable.

Keywords: Foreign investors; security investment trust companies; security dealers; conditional analysis; JEL Classification: G11; JEL Classification: G24 (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 2006
References: View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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DOI: 10.1142/S0219091506000896

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