This study discusses the trading behavior of foreign investors with respect to economic uncertainty in the South Korean stock market from a time-varying perspective.We employ a news-based measure of economic uncertain...This study discusses the trading behavior of foreign investors with respect to economic uncertainty in the South Korean stock market from a time-varying perspective.We employ a news-based measure of economic uncertainty along with the model of time-varying parameter vector autoregression with stochastic volatility.The empirical analysis reveals several new findings about foreign investors’trading behaviors.First,we find evidence that positive feedback trading often appears during periods of high economic uncertainty,whereas negative feedback trading is exclusively observable during periods of low economic uncertainty.Second,the foreign investors’feedback trading appears mostly to be well-timed and often leads the time-varying economic uncertainty except in periods of global crises.Third,lagged negative(positive)response of net flows to economic uncertainty is found to be coupled with lagged positive(negative)feedback trading.Fourth,the study documents an asymmetric response of foreign investors with regard to negative and positive shocks of economic uncertainty.Specifically,we find that they instantly turn to positive feedback trading after a negative contemporaneous response of net flows to shocks of economic uncertainty.In contrast,they move slowly toward negative feedback trading after a positive response of net flows to uncertainty shocks.展开更多
This paper uses unique data on the shareholdings of both institutional and individual investors to directly investigate whether institutional investors have better stock selection ability than individual investors in ...This paper uses unique data on the shareholdings of both institutional and individual investors to directly investigate whether institutional investors have better stock selection ability than individual investors in China.Controlling for other factors,we find that institutional investors increase(decrease)their shareholdings in stocks that subsequently exhibit positive(negative)short-and long-term cumulative abnormal returns.In contrast individual investors decrease(increase)their shareholdings in stocks that subsequently exhibit positive(negative)short-and long-term cumulative abnormal returns.These findings indicate that institutional investors have superior stock selection ability in China.展开更多
文摘This study discusses the trading behavior of foreign investors with respect to economic uncertainty in the South Korean stock market from a time-varying perspective.We employ a news-based measure of economic uncertainty along with the model of time-varying parameter vector autoregression with stochastic volatility.The empirical analysis reveals several new findings about foreign investors’trading behaviors.First,we find evidence that positive feedback trading often appears during periods of high economic uncertainty,whereas negative feedback trading is exclusively observable during periods of low economic uncertainty.Second,the foreign investors’feedback trading appears mostly to be well-timed and often leads the time-varying economic uncertainty except in periods of global crises.Third,lagged negative(positive)response of net flows to economic uncertainty is found to be coupled with lagged positive(negative)feedback trading.Fourth,the study documents an asymmetric response of foreign investors with regard to negative and positive shocks of economic uncertainty.Specifically,we find that they instantly turn to positive feedback trading after a negative contemporaneous response of net flows to shocks of economic uncertainty.In contrast,they move slowly toward negative feedback trading after a positive response of net flows to uncertainty shocks.
文摘This paper uses unique data on the shareholdings of both institutional and individual investors to directly investigate whether institutional investors have better stock selection ability than individual investors in China.Controlling for other factors,we find that institutional investors increase(decrease)their shareholdings in stocks that subsequently exhibit positive(negative)short-and long-term cumulative abnormal returns.In contrast individual investors decrease(increase)their shareholdings in stocks that subsequently exhibit positive(negative)short-and long-term cumulative abnormal returns.These findings indicate that institutional investors have superior stock selection ability in China.
