Order submission behaviors and opening price behaviors: evidence from an emerging market

Order submission behaviors and opening price behaviors: evidence from an emerging market Recent studies document that mutual funds demonstrate an overnight information advantage over foreign investors in Taiwan, a fast emerging market. However, this inequality contradicts the documented foreign investors’ growing market dominance and information advantage. Motivated by the inconsistency, we apply intraday data to examine the linkage between investors’ order submission behaviors and the opening price behaviors of the top net-trade stocks of professional institutional investors. We find that mutual funds exhibit a more persistent and aggressive trading pattern than foreign investors. The order submission behavior of aggressive individuals, following closely mutual funds’ trades, mainly drives the observed informational differences. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Review of Quantitative Finance and Accounting Springer Journals

Order submission behaviors and opening price behaviors: evidence from an emerging market

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Publisher
Springer US
Copyright
Copyright © 2009 by Springer Science+Business Media, LLC
Subject
Finance; Corporate Finance; Accounting/Auditing; Econometrics; Operation Research/Decision Theory
ISSN
0924-865X
eISSN
1573-7179
D.O.I.
10.1007/s11156-009-0110-6
Publisher site
See Article on Publisher Site

Abstract

Recent studies document that mutual funds demonstrate an overnight information advantage over foreign investors in Taiwan, a fast emerging market. However, this inequality contradicts the documented foreign investors’ growing market dominance and information advantage. Motivated by the inconsistency, we apply intraday data to examine the linkage between investors’ order submission behaviors and the opening price behaviors of the top net-trade stocks of professional institutional investors. We find that mutual funds exhibit a more persistent and aggressive trading pattern than foreign investors. The order submission behavior of aggressive individuals, following closely mutual funds’ trades, mainly drives the observed informational differences.

Journal

Review of Quantitative Finance and AccountingSpringer Journals

Published: Mar 5, 2009

References

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