A CLOSER LOOK AT THE CHARACTERISTICS OF STOCK HOLDINGS OF FOREIGN AND LOCAL INVESTORS IN THE INDONESIAN STOCK EXCHANGE (IDX)

2013 ◽  
Vol 08 (01) ◽  
pp. 1350002 ◽  
Author(s):  
JOSEPHINE SUDIMAN ◽  
DAVID ALLEN ◽  
ROBERT POWELL
Keyword(s):  
Institutional Investors ◽  
Stock Exchange ◽  
Individual Investors ◽  
Foreign Investors ◽  
Market Capitalization ◽  
Price Levels

This study provides an overview of the characteristics of stockholdings of foreign and local investors in terms of firm sizes, price levels and liquidity. There are four key findings. First, the IDX is a highly concentrated market and foreign investors dominate the ownership of high market capitalization stocks. Second, foreign investors trade less frequently than domestic counterparts. Third, small, illiquid lower priced stocks dominate this market with domestic individual investors holding most of the stocks with these characteristics. Finally, the paper profits of foreign institutional and domestic individual investors are found to be higher than those of domestic institutional investors.

Stock Characteristics and Individual Herding

2020 ◽  
Vol 9 (4) ◽  
pp. 58-73
Author(s):  
Tze Sun Wong
Keyword(s):  
Stock Exchange ◽  
Target Population ◽  
Individual Investors ◽  
Market Capitalization ◽  
Independent Variables ◽  
Taiwan Stock Exchange ◽  
Excess Volatility ◽  
Log Odds ◽  
Industry Affiliation ◽  
The Individual

Individuals who invest stocks in a market with excess volatility generally end up selling or holding the stocks at losses. The purpose of this study was to examine individual herding as it related to three comprehensible stock characteristics, market capitalization, price-to-book ratio, and industry affiliation. The target population was the individual investors who traded in Taiwan Stock Exchange in 2016. Data were collected through subscription. Based on Lakonishok, Shleifer, and Vishny's measure, individual herding was significant. The three stock characteristics were separately and as a whole related to individual herding. The findings confirmed sell-herding higher than buy-herding, more serious herding in high market capitalization stocks, and broad industry herding. The findings also extended knowledge to comparable herding levels with 8 to 10 years ago, more linearity between log market capitalization and log odds of herd occurrence, and less herding in P/B ratio stocks with other independent variables controlled.

Price Momentum in Korea and the Effect of Investors’ Trading

2019 ◽  
Vol 27 (3) ◽  
pp. 329-364
Author(s):  
Kyoim Lee
Keyword(s):  
Positive Feedback ◽  
Institutional Investors ◽  
Individual Investors ◽  
Price Setting ◽  
Medium Term ◽  
Foreign Investors ◽  
Price Momentum ◽  
Momentum Profits ◽  
Large Size ◽  
Feedback Trading

This study investigates domestic individual, institutional and foreign investors’ trading, to test Hong and Stein (1999)’s behavioral explanation that momentum profit is generated as some uninformed investors underreact to information on medium-term prices. Using Hvidkjaer (2006)’s methodology, we examine the respective investors’ trading tendencies reflected in their active price-setting orders. We analyze a special database compiling details on every transaction for the stocks listed on the KSE during 1996:12~2009:08. During 2001~2007, individual investors’ underreaction in trading large-size winner stocks contributes to positive momentum profits. They seem to induce weak negative profits to emerge in 1997~2000, too. Foreign investors underreact to small-size loser stocks, incurring positive momentum profits during 2001~2007. They engage in positive feedback trading, when they trade large-size winner stocks. This trading tendency does not seem to be based on information on firm fundamentals, as we find those winner stocks’ returns are not sustained. Institutional investors’ trading seems to be relatively in line with future returns, but evidences are not strong enough to support they are informed investors. Overall, the behavioral hypothesis on investors’ underreaction seems to explain medium-term momentum profits in Korea, but evidences differing across subsamples suggest possibility of other unknown influences.

The Expiration Day Effects of Single Stock Futures : Evidence from Korea

2017 ◽  
Vol 25 (3) ◽  
pp. 451-478
Author(s):  
Shiyong Yoo
Keyword(s):  
Institutional Investors ◽  
Stock Prices ◽  
Trading Volume ◽  
Volume Effect ◽  
Individual Investors ◽  
Foreign Investors ◽  
Reversal Effect ◽  
Price Reversal ◽  
Price Shock ◽  
Single Stock Futures

In this study, we analyzed whether the expiration day effect of domestic single stock futures exists. One-minute stock prices and trading volume by trader types is used. Data ranges from May 2008 to June 2016. The expiration day effects are measured by price reversal, price shock, volatility effect, and volume effect. Since the expiration day of single stock futures is on the second Thursday of each month, we analyzed whether the expiration day effects differ between expiration Thursday and non-expiration Thursday. The price reversal effect is evident in Samsung Electronics and Hyundai Steel, and the price shock effect is evident for KT and KT&G. However, price reversals and price shocks are not generally found in other stocks. On the other hand, in most stocks (16 out of 22), the volatility effect variables were statistically significantly larger on the expiration Thursday than non-expiration Thursday. The expiration day effects of single stocks are evident in the trading volume. First of all, trading volume increased significantly on expiration Thursday than non-expiration Thursday. In particular, the trading-volume shares of institutional investors and foreign investors increase and the share of individual investors is decreasing. This suggests that the increase in trading volume on expiration Thursday is mainly due to the increase in the trading-volume shares of institutional investors and foreign investors, who are supposed to be in the information superiority. In addition, we can conjecture that the larger volatility level on expiration Thursday than on non-expiration Thursday may be due to institutional investors and foreign investors rather than individual investors.

Volatility–Volume Relationships Among Types of Traders Considering the Investment Limitation to Foreign Investors

2006 ◽  
Vol 09 (04) ◽  
pp. 575-596 ◽  
Author(s):  
Ching-Mann Huang ◽  
Tsai-Yin Lin ◽  
Chih-Hsien Yu ◽  
Si-Ying Hoe
Keyword(s):  
Stock Market ◽  
Institutional Investors ◽  
Trading Volume ◽  
Individual Investors ◽  
Volume Data ◽  
Foreign Investors ◽  
Volume Relationship ◽  
Before And After ◽  
The Individual

This paper examines the volatility–volume relationship in Taiwan stock market, using volume data categorized by type of trader. We consider before and after our event period of lifting the investment restrictions for foreign investors. We partition trading volume into expected and unexpected volume and find that the unexpected volume shocks for individual investors are more important than the expected volume shocks in explaining volatility before lifting the investment restrictions for the foreign investors. We find that the positive volatility–volume relationship is driven by the individual investors even during the period of the lifting of investment restrictions for foreign investors. However, with respect to institutional investors, before the removal of investment restrictions for foreign investors, the unexpected volume of trading of the domestic dealers exhibit positive volatility–volume relationship. Further, after the removal of investment restrictions, the unexpected volume of the foreign investors has a positive volatility–volume relationship.

Information Structure, Trading Behavior and Stock Prices in the Thai Market

1998 ◽  
Vol 01 (03) ◽  
pp. 321-353 ◽  
Author(s):  
Anya Khanthavit
Keyword(s):  
Institutional Investors ◽  
Stock Prices ◽  
Information Structure ◽  
Stock Return ◽  
Emerging Market ◽  
Individual Investors ◽  
Herd Behavior ◽  
Trading Behavior ◽  
Foreign Investors ◽  
Noisy Information

This study examines the information and trading behavior of investors in the Thai market. This market is an important emerging market in the Pacific Rim, whose structure is different from that of a more developed market. We propose a vector autoregression model to describe and test action and reaction of the portfolio reallocation of investors and the movement of stock prices over time. Using daily market data from January 3, 1995 to October 27 1997 , this study finds that, in the Thai market, the foreign investors bought stocks when prices had risen. This strategy was consistent with a positive autocorrelation in the stock return. The local individual investors bought stocks when prices had fallen, while the local institutional investors disregarded past price changes. These two investor groups also exhibited herd behavior of both informational cascades and interpersonal communications types. They followed each other and reacted negatively to an innovation in the stock return. It is interesting to find that the foreign investors brought new information into the market. The local individual and local institutional investors brought in noise, but the explanatory share of this noisy information in the stock volatility was small. So, the study concludes that the volatility in the Thai market was not excessive.

Who Drive the Rise and Fall of the Bubbles in Korean Stock Market?

2017 ◽  
Vol 25 (4) ◽  
pp. 591-622
Author(s):  
Bong-Chan Kho ◽  
Jin-Woo Kim
Keyword(s):  
Stock Market ◽  
Institutional Investors ◽  
Risk Model ◽  
Early Stage ◽  
Disposition Effect ◽  
Individual Investors ◽  
Foreign Investors ◽  
Peak Point ◽  
Korean Stock Market ◽  
Informed Traders

In this paper, we analyze the trading patterns of investors around the bubble events selected for stocks traded in Korean Stock Market from 1999 to 2013, whose holding period returns exceed 200% for 250 trading days prior to the event and then drop subsequently below -50% thereafter for the next 250 trading days. We examine whether individual investors, commonly known as noise traders, drive the bubbles, and whether institutional investors and foreign investors, known as informed traders, take an arbitrage position to shrink the pricing errors or ride the bubbles to maximize their profits. We also examine whether individual investors suffer losses due to their disposition effect even after the bubble bursts. Major findings of this paper are as follows : First, we find that individual investors are actually shown to drive the bubbles in our full sample, whereas the burst of the bubbles are largely driven by institutional investors and foreign investors. In particular, it is shown for large-cap stocks that foreign investors take the lead in raising the price at an early stage of the bubbles and then institutional investors follow them until the bubble peak point. Second, for mid-cap and large-cap stocks, institutional investors are found to ride the bubbles from about 75 days prior to the bubble peak point, when foreign investors reverse their trades and start selling to realize profits. Such bubble riding behavior of institutional investors is consistent with the synchronization risk model of Abreu and Brunnermeier (2002, 2003), where it is optimal for informed traders to ride the bubbles until all of informed traders start selling at the bubble peak point. Third, individual investors are found to suffer losses as they keep buying the bubble stocks even after the bubble bursts due to their disposition effect.

scholarly journals Risk Perceptions Of Individual Vs. Institutional Investors: A Comparison Based On The Johannesburg Stock Exchange

2011 ◽  
Vol 5 (4) ◽  
pp. 5 ◽  
Author(s):  
Colin Firer ◽  
Michael Colin Oliver ◽  
Gail Farrelly
Keyword(s):  
Institutional Investors ◽  
Risk Perceptions ◽  
Stock Exchange ◽  
Investment Analysis ◽  
Individual Investors ◽  
Total Risk ◽  
Johannesburg Stock Exchange ◽  
Measures Of Risk ◽  
The Individual

This paper examines risk at the individual, as opposed to the market, level. By means of questionnaires, individuals risk perceptions are collected and then correlated with other measures of risk. The survey was conducted for individual investors and investment analysis in order to determine if appreciable differences exist between the two sets of respondents. The results are consistent with previous research which suggests that investors consider total risk in their share assessments. The evidence also indicates no significant differences in the risk perceptions of investors vs. those of analysts.

The Dynamics of Trades and Quote Revisions Across Stock, Futures, and Option Markets

2008 ◽  
Vol 11 (02) ◽  
pp. 227-254 ◽  
Author(s):  
Jangkoo Kang ◽  
Hyoung-Jin Park
Keyword(s):  
Institutional Investors ◽  
Asset Markets ◽  
Individual Investors ◽  
Liquidity Effect ◽  
Option Markets ◽  
Foreign Investors ◽  
Information Effect ◽  
Underlying Asset ◽  
New Information ◽  
Derivative Markets

This paper examines the dynamics of returns and order imbalances across the KOSPI 200 cash, futures and option markets. The information effect is more dominant than the liquidity effect in these markets. In addition, returns have more predictability power for the future movements of prices than order imbalances. Information seems to be transmitted more strongly from derivative markets to their underlying asset markets than from the underlying asset markets to their derivative markets. Finally, domestic institutional investors prefer futures, domestic individual investors prefer options, and foreign investors prefer stocks relative to other investor groups when they have new information.

scholarly journals Investors’ trading and relative performance of analysts during the crisis period

2014 ◽  
Vol 11 (2) ◽  
pp. 697-707 ◽  
Author(s):  
Omar Farooq
Keyword(s):  
Financial Crisis ◽  
South Korea ◽  
Institutional Investors ◽  
Asian Financial Crisis ◽  
Superior Performance ◽  
Individual Investors ◽  
Sample Period ◽  
Foreign Investors ◽  
Emerging Stock Markets ◽  
The Relationship

This paper documents the relationship between foreign and local analysts’ recommendations and subsequent trades done by different investor groups – foreign investors, local institutional investors, and local individual investors. Using analysts’ recommendations and investors’ trading data from South Korea, we show that foreign analysts’ buy recommendations and local analysts’ sell recommendations generate significantly more subsequent trade than their respective counterpart recommendations (i.e. local analysts’ buy and foreign analysts’ sell recommendations) during the Asian financial crisis of 1997-98. We argue that the ability of foreign analysts’ buy recommendations and local analysts’ sell recommendations to generate trade is responsible for superior performance foreign analysts’ buy recommendations and local analysts’ sell recommendations in emerging stock markets. We also show that earlier explanations proposed to explain the asymmetric performance of foreign and local analysts’ recommendations do not hold in our sample period.

scholarly journals Are the shareholding and trading behaviors of diverse investors affected by the relaxation of day trading?

PLoS ONE ◽  
2021 ◽  
Vol 16 (4) ◽  
pp. e0250121
Author(s):  
Wan-Hsiu Cheng ◽  
Yensen Ni ◽  
Ting-Hsun Ho ◽  
Chia-Jung Chiang ◽  
Paoyu Huang ◽  
...  
Keyword(s):  
Institutional Investors ◽  
Trading Volume ◽  
Stock Exchange ◽  
Individual Investors ◽  
Investment Strategies ◽  
High Turnover ◽  
Listed Firms ◽  
Day Trading ◽  
Taiwan Stock Exchange ◽  
Foreign Institutional Investors

The day trading in Taiwanese stock market expands considerably at the beginning of 2016, which increases the transactions of stocks consequently and sparks our interest in exploring the issue of day trading. In this study, we use the data of Taiwan Stock Exchange listed firms to investigate whether the day trading volume over total trading volume (hereinafter referred to as the day trading ratio) and the turnover ratio enhanced by the increase of day trading volume would affect the shareholding and trading behaviors of diverse institutional and individual investors. Unquestionably, we bring out several impressive findings. First, foreign institutional investors would not prefer holding or trading the stocks with high day trading ratios, whereas individual investors would prefer holding these kinds of stocks. We infer that this finding might result from the fundamental and the speculative concerns of these various investors. Second, domestic institutional investors and security dealers would prefer trading the stocks with high turnover ratios, but foreign institutional investors still lack of interest in trading these stocks, implying that the investment strategies would be dissimilar among various institutional investors. Since foreign institutional investors are regarded as the successful institutional investors in Taiwan, we argue that our revealed results may help market participants trace the behaviors of diverse investors, especially the foreign institutional investors, after day trading relaxation in Taiwan.

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