رسالة جامعية
Institutional Investors Trading Strategies and Stock Returns in Taiwan Stock Market
| العنوان: | Institutional Investors Trading Strategies and Stock Returns in Taiwan Stock Market |
|---|---|
| العنوان البديل: | 臺灣股市機構投資人之交易策略和股票報酬 |
| المؤلفون: | Jia-Hua Li, 李家華 |
| مرشدي الرسالة: | Chao-Shin Chiao, 蕭朝興 |
| سنة النشر: | 2010 |
| المجموعة: | National Digital Library of Theses and Dissertations in Taiwan |
| الوصف: | 98 Applying daily volume of executed orders in the Taiwan Stock Exchange, this paper assesses the relation between institutional trading strategies and stock returns. To distinguish the institutional behaviors, we decompose the buy-sell imbalance (BSI) into the (aggressive) marketable order imbalance (MOI) and the executed (patient) nonmarketable order imbalance (ENMOI). As a result, the three proposed imbalances are correlated with future returns. With and without controlling for stock characteristics, mutual funds’ strategies exhibit the best predicting power than foreign investors’ and securities dealers’, regardless of on selected bases. Securities dealers’ strategies predict future returns on large-size portfolios, based on ENMOI. |
| Original Identifier: | 098NDHU5385011 |
| نوع الوثيقة: | 學位論文 ; thesis |
| وصف الملف: | 62 |
| الإتاحة: | http://ndltd.ncl.edu.tw/handle/91307379899329765430Test |
| رقم الانضمام: | edsndl.TW.098NDHU5385011 |
| قاعدة البيانات: | Networked Digital Library of Theses & Dissertations |
| الوصف غير متاح. |