Effect of Investor Category Trading Imbalances on Stock Returns
28 Pages Posted: 2 Dec 2008
Abstract
Trading is the mechanism of the economist's 'invisible hand', the means by which price discovery occurs. We use daily shareholdings data from the Australian equities clearinghouse to investigate the impact of the trading imbalances of investor categories on stock returns. Our evidence does not contradict the behavioral finance assumption that the trading of individual investors contributes to price discovery. Furthermore, we find that, while the trading of all investor categories Granger-causes returns, returns Granger-cause trading only for the individual investor category. That is, in the short term of up to 1 month, only individual investors engage in feedback trading.
Suggested Citation: Suggested Citation
Do you have a job opening that you would like to promote on SSRN?
Recommended Papers
-
The Effect of Investor Category Trading Imbalances on Stock Returns
By David B. Colwell, Julia Henker, ...
-
By Paul A. Griffin and Ning Zhu
-
Selectivity in Mutual Fund Trades
By Grant Cullen, Dominic Gasbarro, ...
-
The Apportionment of Takeover Wealth Gains Over Investor Groups
-
Illusionary Finance and Trading Behavior
By Malika Hamadi, Erick W. Rengifo, ...
-
Bursting Bubbles: Linking Experimental Financial Market Results to Field Market Data
By Julia Henker and Sian A. Owen
-
Bubbles and Buyers: Are Individual Investors the Culprits?
By Julia Henker and Thomas Henker