Institutional Investor Trading in a Short Investment Horizon: Evidence from the Korean Stock Market. Issue 4 (2nd April 2016)

• Record Type: Journal Article
• Authors: Chung, Chune Young; Liu, Chang; Wang, Kainan
• Is Part Of: Emerging markets finance & trade. Volume 52:Issue 4(2016)
• Page Start: 1002
• Page End: 1012
• Publication Date: 2016-04-02
• Subjects: daily trading data -- emerging market -- herding -- institutional investors -- investment performance -- investment strategy -- trading behaviors; Balkan Peninsula -- Commerce -- Periodicals; Balkan Peninsula -- Foreign economic relations -- Periodicals; Europe, Central -- Commerce -- Periodicals; Europe, Central -- Foreign economic relations -- Periodicals; Europe, Eastern -- Commerce -- Periodicals; Europe, Eastern -- Foreign economic relations -- Periodicals; Turkey -- Commerce -- Periodicals; Turkey -- Foreign economic relations -- Periodicals; Asia -- Commerce -- Periodicals; Asia -- Foreign economic relations -- Periodicals; Eurasia -- Commerce -- Periodicals; Eurasia -- Foreign economic relations -- Periodicals; 382.05
• DOI: 10.1080/1540496X.2015.1025648
• Languages: English
• ISSNs: 1540-496X

Abstract

Abstract: We examine the weekly trading activities of institutional investors in the Korean stock market. First, we find that average net trades by institutional investors this week are negatively related to one-week lagged returns, suggesting that they could be contrarian traders. Second, our finding shows that institutional investors' net trades this week are positively related to the net trades next week, consistent with persistent trading and/or herding behavior. Third, we find that institutional net trades are positively related to the post one-week returns. Finally, our findings are most pronounced in the group of short-term institutional investors.