Author/Authors
GÜLTEKİN, Melis Yaşar Üniversitesi - Sosyal Bilimler Enstitüsü - Finans Doktora Programı, Turkey , UMUTLU, Mehmet Yaşar Üniversitesi - İktisadi ve İdari Bilimler Fakültesi - Uluslararası Ticaret ve Finansman Bölümü, Turkey
Title Of Article
INTERACTION BETWEEN EQUITY TRADING OF VARIOUS INVESTOR TYPES AND MARKET RETURN
شماره ركورد
44538
Abstract
In finance literature, interaction or relationship between portfolio investments and index return were examined in many studies. However most of these studies were conducted at monthly or annual frequency with a restricted investor classification. In this study, we analyze the interaction between the net purchases of three different investor groups and market return by using daily data from the Korean Stock Exchange. Vector Auto Regression (VAR) model results show that individual and foreign investors follow a momentum strategy whereas institutional investors follow a contrarian strategy. During the crisis period, institutional and individual investors did not change their trading strategies. On the other hand, there is a positive correlation between foreign investors’ net purchase and lagged market returns during the crisis period as in the case of the full period but different from full sample period, this correlation is not statistically significant.
From Page
451
NaturalLanguageKeyword
Investor Groups , Index Return , Trading , VAR Analysis , KOSPI200
JournalTitle
Ege Academic Review (EAR)
To Page
460
JournalTitle
Ege Academic Review (EAR)
Link To Document