What kind of trading drives return autocorrelation?

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题名:	What kind of trading drives return autocorrelation?
作者:	謝俊魁 Hsieh, Chun-Kuei Hu, Shing-yang
贡献者:	東海大學國際經營與貿易學系
关键词:	information trading allocation trading return autocorrelation short sale
日期:	2008-03
上传时间:	2016-08-31T06:41:05Z (UTC)
摘要:	This paper proposes new tests for the prediction of Llorente, Michaely, Saar, and Wang (2002) that information trading drives the positive autocorrelation and allocation trading the negative autocorrelation of returns. Data from the Taiwan Stock Exchange is used to exploit the differences in the trading motivations of three groups of institutional investors. Consistent with the predictions, we find that heavy trading from foreigners and mutual funds will increase the autocorrelation especially for large firms, and that from securities companies will reduce it. We also find that the sell volume of mutual funds – which are not allowed to short sell by regulation – has significantly smaller effect on the autocorrelation of returns than buy volume. A portfolio strategy exploiting the observed autocorrelation pattern can generate a significantly positive daily return.
關聯:	Journal of financial studies, 18(2), 65 - 98
显示于类别:	[國際經營與貿易學系所] 期刊論文

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