Summary and Concluding Remarks

Recent literature shows that the contemporaneous relàtion between changes in institutional ownership and stock returns is stronger than the trend chasing effect (Nofsinger and Sias, 1999; Wermers, 1999). Although m切y studies examine possible causes of contemporaneous relation, due to the lack of high frequency data, only a few studies explore 也e relative importance among the possibilities. Applying limit-order data，出is paper aims to explain the positive contemporaneous relation and examine the role of trading behaviors of institutional and individual investors in the short-run (daily and intraday) price movements.

As a result

,

first

,

the contemporaneous relation between stock return and trade imbalance by institutions (individuals) at the daily level is s甘'Onglypositive (negative) and institutions (individuals) tend to be trend-chasing (con甘冒rian).

Second, in the VAR analysis, there is s訂'Ong evidence of persistence in institutional and individual trading but no eviden閃出的 institutional 仕ading can predict future daily returns. Third, using an in甘aday analysis, we do not find consistent evidence that the institutional order imbalances predict the future 30-minite return. Although the institutional trading positively follows the past intraday returns, the positive contemporaneous relation is largely driven by the pnce pressure 企'Om the institutional trading. Fourth，也e stock price will move more when the trading direction of individuals is in line with 由at of institutions, implying that individual investors play a deterministic role in the observed price behaviors. Finally, we find that the information content of daily institutional trade imbalance lasts only over a short period.

Our con甘ibutions can be placed on, first, the provision of the analysis on the relation between institutional trading and stock returns in the Taiwan stock market with the different trading mechanism (order-driven market) 企om that of many developed markets like U.S. (dealer-driven market). Second, the Taiwan stock market has been dominated by individual investors and its investor

74 ^The Dynamic Analysis olInv，目的悶 'Trading 的 theTaiwan Stock 且Iarket

composition is remarkably different from that in other developed markets. While institutional investors are often regarded as informed traders and their trading contributes to 也e process of incorporating information into stock prices, the observed trading behavior and the deterministic role of individual investors may provide investors and analysts with not only a broader view of a fast emerging market but also potentially profitable applications. Finally，的 Taiwan has opened its financial markets and institutional trading increasingly gradually has gained its importance, Taiwan's development and outcomes may arouse the interests of policy makers of other developing countries. Taiwan's experience can assist them in establishing effective policies to promote the efficiency of price discoveη"

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在文檔中 The Dynamic Analysis of Investors' Trading in the Taiwan Stock Market (頁 33-38)