IDEAS home Printed from https://ideas.repec.org/a/wsi/rpbfmp/v09y2006i04ns0219091506000896.html
   My bibliography  Save this article

The Informative Content of the Net-Buy Information of Institutional Investors in the Taiwan Stock Market: A Revisit Using Conditional Analysis

Author

Listed:
  • Chaoshin Chiao

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

  • David C. Cheng

    (Department of International Business, National Dong Hwa University, Hualien, Taiwan, ROC)

  • Yunju Shao

    (Union Bills Finance Co., Ltd., Taipei, Taiwan, ROC)

Abstract

Chiao and Lin (2004) argue that the strategies following the investment pace of security investment trust companies (SITCs) are more profitable than the market and those following foreign investors (FIs) and security dealers (SDs) in the Taiwan stock market. We reexamine their results under various market events and economic states. Employing the close-to-close returns, our results are mostly consistent with Chiao and Lin (2004) except that, during the period of economic recovery, following FIs is more profitable. However, employing the open-to-close returns and considering transaction costs, none of the strategies are profitable.

Suggested Citation

  • Chaoshin Chiao & David C. Cheng & Yunju Shao, 2006. "The Informative Content of the Net-Buy Information of Institutional Investors in the Taiwan Stock Market: A Revisit Using Conditional Analysis," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 9(04), pages 661-697.
    • Handle: RePEc:wsi:rpbfmp:v:09:y:2006:i:04:n:s0219091506000896
    DOI: 10.1142/S0219091506000896
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S0219091506000896
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1142/S0219091506000896?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Lowe, Alpha, 2014. "The demand-side explanation for commonality in liquidity: The role of institutional ownership in the Taiwan Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 59-85.
    2. Chiao, Chaoshin & Chen, Shin-Hui & Hu, Jia-Ming, 2010. "Informational differences among institutional investors in an increasingly institutionalized market," Japan and the World Economy, Elsevier, vol. 22(2), pages 118-129, March.
    3. Chaoshin Chiao & Zi-May Wang & Shiau-Yuan Tong, 2017. "Order cancellations across investor groups: evidence from an emerging order-driven market," Review of Quantitative Finance and Accounting, Springer, vol. 49(4), pages 1167-1193, November.

    More about this item

    Keywords

    Foreign investors; security investment trust companies; security dealers; conditional analysis; 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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:rpbfmp:v:09:y:2006:i:04:n:s0219091506000896. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/rpbfmp/rpbfmp.shtml .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.