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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 securitydealers (SDs), in the Taiwan stock market. First, with/withoutconsidering prevailing market frictions, the investment strategiesbased on the NB trading volume and dollar trading volume of SITCs,outperform the market and those strategies based on those of FIs andSDs. Second, on average, institutional investors trade mostly largeand growth stocks. Third, evidence supports negative leading roles ofthe aggregate/disaggregate NB dollar trading volumes of FIs over thoseof SITCs.
Review of Pacific Basin Financial Markets and Policies – World Scientific Publishing Company
Published: Jun 1, 2004
Keywords: Net-buy stocks net-sell stocks institutional investors JEL Classification G11 JEL Classification G24
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