Institutional trading in volatile markets : evidence from Chinese stock markets

Darby, Julia and Zhang, Hai and Zhang, Jinkai (2020) Institutional trading in volatile markets : evidence from Chinese stock markets. Pacific-Basin Finance Journal. 101484. ISSN 0927-538X (https://doi.org/10.1016/j.pacfin.2020.101484)

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Abstract

We investigate the daily stock returns of all A-shares listed on the Shanghai and Shenzhen stock exchanges over the period 2010-2017. Using daily cash flow data on the largest category of trades by value, we construct a proxy for high-value institutional trading activity. We demonstrate that high-value institutional transactions consistently exacerbate firm-level abnormal stock returns on extreme market movement days. We then highlight the conflating influence of regulator imposed daily limits on firm-level stock price movements and conclude that binding price limits act to exacerbate the destabilising effects associated with high-value institutional trades in Chinese stock markets.

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• Item metadata

  Item type:	Article
  ID code:	74769
  Dates:	Date Event 3 December 2020 Published 3 December 2020 Published Online 1 December 2020 Accepted
  Subjects:	Social Sciences > Finance
  Department:	Strathclyde Business School > Economics Strathclyde Business School > Accounting and Finance
  Depositing user:	Pure Administrator
  Date deposited:	03 Dec 2020 10:48
  Last modified:	17 Apr 2024 00:42
  URI:	https://strathprints.strath.ac.uk/id/eprint/74769