Investor trade allocation patterns in stock markets

34 Pages Posted: 18 Sep 2020 Last revised: 11 Jan 2023

See all articles by Kęstutis Baltakys

Kęstutis Baltakys

Tampere University

Juho Kanniainen

Tampere University

Jari Saramäki

Aalto University

Mikko Kivela

Aalto University

Date Written: April 30, 2021

Abstract

In this paper, we statistically analyze how investors distribute their trading intensity to different securities in stock markets. We find that trade allocation distributions are distinctive between investors. More importantly, the patterns of trade allocation across securities are surprisingly persistent for each investor, even when there is turnover of securities in their portfolios. This suggests that even if investors have security-specific strategies, the securities can be replaced by others while the strategies remain. We also find that time constraints do not appear to limit investors' activeness: the larger the set of securities an investor trades, the more frequently she trades each security on average.

Keywords: trade allocation, portfolios, investor behavior, stock market

JEL Classification: G11

Suggested Citation

Baltakys, Kęstutis and Kanniainen, Juho and Saramäki, Jari and Kivela, Mikko, Investor trade allocation patterns in stock markets (April 30, 2021). Available at SSRN: https://ssrn.com/abstract=3687759 or http://dx.doi.org/10.2139/ssrn.3687759

Kęstutis Baltakys (Contact Author)

Tampere University ( email )

Tampere, FIN-33101
Finland

Juho Kanniainen

Tampere University ( email )

P.O. 541, Korkeakoulunkatu 8 (Festia building)
Tampere, FI-33101
Finland

HOME PAGE: http://https://sites.google.com/site/juhokanniainen/

Jari Saramäki

Aalto University ( email )

P.O. Box 21210
Helsinki, 00101
Finland

Mikko Kivela

Aalto University ( email )

P.O. Box 21210
Helsinki, 00101
Finland

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