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Institutional Investor Trading in a Short Investment Horizon: Evidence from the Korean Stock Market

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  • Chune Young Chung
  • Chang Liu
  • Kainan Wang

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.

Suggested Citation

  • Chune Young Chung & Chang Liu & Kainan Wang, 2016. "Institutional Investor Trading in a Short Investment Horizon: Evidence from the Korean Stock Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(4), pages 1002-1012, April.
    • Handle: RePEc:mes:emfitr:v:52:y:2016:i:4:p:1002-1012
    DOI: 10.1080/1540496X.2015.1025648
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    Cited by:

    1. Brzeszczyński, Janusz & Bohl, Martin T. & Serwa, Dobromił, 2019. "Pension funds, large capital inflows and stock returns in a thin market," Journal of Pension Economics and Finance, Cambridge University Press, vol. 18(3), pages 347-387, July.
    2. Rajesh Mohnot, 2020. "Examining Granger Causality in the Behavioral Reactions of Institutional Investors— Evidence from India," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 22(04), pages 1-21, January.

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