Institutional trading in volatile markets: evidence from Chinese stock markets

Research output: Contribution to conferencePaper

23 Downloads (Pure)

Abstract

We investigate all listed firms in Shanghai and Shenzhen stock Exchanges on extreme market movement days over 2010 to 2017, and highlight the important role of price limit on post extreme day stock returns. Utilising daily cash flow data of the largest trading group as a proxy of institutional investors trading behaviour, we identify institutional investors’ consistently destabilizing effects on extreme days across two markets. We further show the upper (lower) price limit hitting stocks continue to increase (decrease) for at least two subsequent days, and find evidence of long run price reversal for lower hitting stocks. Finally we find the greater net buy by large traders the higher abnormal return in three subsequent days of the upper price limit hitting regular stocks, while the net sell on extreme days tend to predict the positive subsequent abnormal returns.
Original languageEnglish
Publication statusPublished - 14 Jun 2019
EventThe 6th Young Finance Scholars' Conference - University of Sussex, Brighton, United Kingdom
Duration: 14 Jun 201914 Jun 2019

Conference

ConferenceThe 6th Young Finance Scholars' Conference
CountryUnited Kingdom
CityBrighton
Period14/06/1914/06/19

Keywords

  • extreme market swings
  • price limits
  • cash flow
  • institutional trading behaaviour
  • Chinese stock markets
  • investors

Fingerprint Dive into the research topics of 'Institutional trading in volatile markets: evidence from Chinese stock markets'. Together they form a unique fingerprint.

  • Cite this

    Darby, J., Zhang, H., & Zhang, J. (2019). Institutional trading in volatile markets: evidence from Chinese stock markets. Paper presented at The 6th Young Finance Scholars' Conference, Brighton, United Kingdom.