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.
Review of Quantitative Finance and Accounting – Springer Journals
Published: Mar 5, 2009
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