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How better informed are the institutional investors?

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  • Cai, Jinghan
  • He, Jia
  • He, Jibao

Abstract

We extend the EKOP model and estimate the probability of informed trading of institutions (SPIN) and individuals (DPIN) respectively. Using a unique dataset of Chinese stock market, we confirm that institutions are better informed by documenting a significantly higher SPIN.

Suggested Citation

  • Cai, Jinghan & He, Jia & He, Jibao, 2010. "How better informed are the institutional investors?," Economics Letters, Elsevier, vol. 106(3), pages 234-237, March.
    • Handle: RePEc:eee:ecolet:v:106:y:2010:i:3:p:234-237
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    References listed on IDEAS

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    2. Ryu, Doojin, 2016. "Considering all microstructure effects: The extension of a trade indicator model," Economics Letters, Elsevier, vol. 146(C), pages 107-110.
    3. Curran, Louise & Lv, Ping & Spigarelli, Francesca, 2017. "Chinese investment in the EU renewable energy sector: Motives, synergies and policy implications," Energy Policy, Elsevier, vol. 101(C), pages 670-682.
    4. Na, Haejung & Kim, Soonho, 2021. "Predicting stock prices based on informed traders’ activities using deep neural networks," Economics Letters, Elsevier, vol. 204(C).
    5. Doojin Ryu & Robert I. Webb & Jinyoung Yu, 2023. "Who pays the liquidity cost? Central bank announcements and adverse selection," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(7), pages 904-924, July.
    6. Han, Liyan & Zheng, Qingqing & Li, Lei & Yin, Libo, 2015. "Do foreign institutional investors stabilize the capital market?," Economics Letters, Elsevier, vol. 136(C), pages 73-75.
    7. Hoque, Hafiz & Mu, Shaolong, 2023. "Information spillover in Chinese hybrid IPO auctions," Journal of International Money and Finance, Elsevier, vol. 131(C).

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