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The contrarian strategy of institutional investors in Chinese stock market

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  • Wen, Fenghua
  • Zou, Qian
  • Wang, Xiong

Abstract

Employing quarterly data of the change in institutional investors’ ownership, we investigate institutional behavior in Chinese stock market. The empirical results show that Chinese institutional investors generally adopt contrarian strategy, which is inconsistent with most studies. In particular, institutional investors are more inclined to show contrarian trading behavior in up markets. Furthermore, we find that the trading activities of institutional investors can positively predict future stock returns.

Suggested Citation

  • Wen, Fenghua & Zou, Qian & Wang, Xiong, 2021. "The contrarian strategy of institutional investors in Chinese stock market," Finance Research Letters, Elsevier, vol. 41(C).
    • Handle: RePEc:eee:finlet:v:41:y:2021:i:c:s1544612320316597
    DOI: 10.1016/j.frl.2020.101845
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    References listed on IDEAS

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    4. Chien-Liang Chiu & Paoyu Huang & Min-Yuh Day & Yensen Ni & Yuhsin Chen, 2024. "Mastery of “Monthly Effects”: Big Data Insights into Contrarian Strategies for DJI 30 and NDX 100 Stocks over a Two-Decade Period," Mathematics, MDPI, vol. 12(2), pages 1-22, January.
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    7. Shi, Yujie, 2022. "What influences stock market co-movements between China and its Asia-Pacific trading partners after the Global Financial Crisis?," Pacific-Basin Finance Journal, Elsevier, vol. 72(C).
    8. Chen, Jinyu & Wang, Yilin & Ren, Xiaohang, 2022. "Asymmetric effects of non-ferrous metal price shocks on clean energy stocks: Evidence from a quantile-on-quantile method," Resources Policy, Elsevier, vol. 78(C).

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    More about this item

    Keywords

    Institutional investor; Contrarian strategy; Market states; Predictive ability;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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