Chinese Institutional Trading, Stock Returns and Earnings Announcements

31 Pages Posted: 29 Jan 2014

See all articles by Zhijuan Chen

Zhijuan Chen

Zhejiang Gongshang University (ZJGSU)

Changfeng Ma

Zhejiang Gongshang University (ZJGSU)

Date Written: January 28, 2014

Abstract

This paper focuses on Chinese institutional trading and its relation with stock returns. We use the data of institutional ownership of Topview from Shanghai Stock Exchange to get daily order flow of dealers and mutual funds. We first document that their daily order flow is persistent in the short run and they adopt momentum strategy only in the short run. At the same time, there is a positive relation between Chinese institutional investor trading and future return in the short run and a zero relation in the long run. Chinese institutional investor trading can predict neither earning surprise nor post-earning-announcement returns. Furthermore, we find that Chinese institutional investors seem to follow a news momentum trading strategy after earnings announcements.

Keywords: Institutional investor; earning announcement; liquidity; information; post-earning-announcement drift

JEL Classification: G12, G14, G35

Suggested Citation

Chen, Zhijuan and Ma, Changfeng, Chinese Institutional Trading, Stock Returns and Earnings Announcements (January 28, 2014). 2014 Financial Markets & Corporate Governance Conference, Available at SSRN: https://ssrn.com/abstract=2386498 or http://dx.doi.org/10.2139/ssrn.2386498

Zhijuan Chen

Zhejiang Gongshang University (ZJGSU) ( email )

Department Of Statistics & Mathematics
Zhejiang
China

Changfeng Ma (Contact Author)

Zhejiang Gongshang University (ZJGSU) ( email )

No.18, Xuezheng Street, Hangzhou
Zhejiang, 310018
China
+86-15869002784 (Phone)

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