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

The Informative Content of the Net-Buy Information of Institutional Investors: Evidence from the... 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Review of Pacific Basin Financial Markets and Policies World Scientific Publishing Company

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

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Publisher
World Scientific Publishing Company
Copyright
Copyright ©
ISSN
0219-0915
eISSN
1793-6705
DOI
10.1142/S0219091504000123
Publisher site
See Article on Publisher Site

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 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.

Journal

Review of Pacific Basin Financial Markets and PoliciesWorld 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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