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- W2022317178 abstract "This study uses a Vector Autoregressive (VAR) model to examine interdependencies among institutional investors, big individual investors, and small individual investors, and the effects of their trading on stock returns on the Taiwan Stock Exchange (TSE). The results imply that, during the sample period, big individual investors are the most well informed players; their trading affects not only stock returns but also small individual investors. Small individual investors are not well informed and are slow learners. Their orders to trade tend to provide liquidity to institutional and big individual investors, but there is no compensation for their liquidity services. We find that institutional investors follow neither positive-feedback nor negative-feedback trading strategies. Overall, the responses to shocks, except for those of small individual investors, decay quickly, indicating that the TSE can absorb shocks quickly and efficiently. Our analysis implies that small individual investors would be better off institutionalizing their investment decisions (e.g., by investing in mutual funds)." @default.
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- W2022317178 date "1999-05-01" @default.
- W2022317178 modified "2023-10-16" @default.
- W2022317178 title "Trading patterns of big versus small players in an emerging market: An empirical analysis" @default.
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- W2022317178 doi "https://doi.org/10.1016/s0378-4266(98)00116-2" @default.
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