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Investor types' trading around the short‐term reversal pattern

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  • Olena Onishchenko
  • Numan Ülkü

Abstract

Using exact and complete Korean data of investor trading, we provide an anatomy of investor types' trading throughout the short‐horizon overshooting‐and‐reversal pattern in stock returns. We document two forms of non‐optimal trading behaviour associated with the pattern: First, institutional investors' chasing of return shocks at the overshooting point, particularly in the large‐cap segment. Second, individual investors' buying of winner stocks in the small‐cap segment, consistent with an attention‐driven speculative buying bias.

Suggested Citation

  • Olena Onishchenko & Numan Ülkü, 2022. "Investor types' trading around the short‐term reversal pattern," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2627-2647, April.
    • Handle: RePEc:wly:ijfiec:v:27:y:2022:i:2:p:2627-2647
    DOI: 10.1002/ijfe.2291
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