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The Informative Content of the Net-Buy Information of Institutional Investors: Evidence from the Taiwan Stock Market

Author

Listed:
  • Chaoshin Chiao

    (Department of Finance, National Dong Hwa University, Haulien, Taiwan, ROC)

  • Ko-I Lin

    (Institute of International Economics, National Dong Hwa University, Haulien, Taiwan, ROC)

Abstract

This paper studies the informative content of the NB (net-buy) information of institutional investors, including foreign investors (FIs), security investment trust companies (SITCs), and security dealers (SDs), in the Taiwan stock market. First, with/without considering prevailing market frictions, the investment strategies based on the NB trading volume and dollar trading volume of SITCs, outperform the market and those strategies based on those of FIs and SDs. Second, on average, institutional investors trade mostly large and growth stocks. Third, evidence supports negative leading roles of the aggregate/disaggregate NB dollar trading volumes of FIs over those of SITCs.

Suggested Citation

  • Chaoshin Chiao & Ko-I Lin, 2004. "The Informative Content of the Net-Buy Information of Institutional Investors: Evidence from the Taiwan Stock Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 7(02), pages 259-288.
    • Handle: RePEc:wsi:rpbfmp:v:07:y:2004:i:02:n:s0219091504000123
    DOI: 10.1142/S0219091504000123
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    Citations

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    Cited by:

    1. Hao Fang & Yang-Cheng Lu & Hwey-Yun Yau, 2014. "The Effects of Stock Characteristics on the Direction and Extent of Herding by Foreign Institutional Investors in the Taiwan Stock Exchange," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 50(S2), pages 60-74.

    More about this item

    Keywords

    Net-buy stocks; net-sell stocks; institutional investors; JEL Classification G11; JEL Classification G24;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services
    • G3 - Financial Economics - - Corporate Finance and Governance

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