Investor Behavior over the Rise and Fall of Nasdaq
AbstractThe large theoretical literature about bubbles includes models where naive individuals cause excessive price movements and smart money trades against (and potentially eliminates) a bubble or where sophisticated investors follow market prices and help drive a bubble. We examine these competing views by focusing on investor activity over the spectacular rise and fall of Nasdaq from September 1999 through 2001. We find that both institutional ownership levels and volume on Nasdaq were high. Institutions bought shares from individuals the day after market up-moves and institutions sold on net following market dips. These patterns are pervasive throughout the market run-up and subsequent crash period. This short-term institutional trend-chasing behavior does not appear to be mechanically induced by flows into and out of mutual funds. Our evidence supports the view that institutions contributed more than individuals to the Nasdaq rise and fall.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Yale School of Management in its series Yale School of Management Working Papers with number ysm431.
Date of creation: 24 Oct 2003
Date of revision:
This paper has been announced in the following NEP Reports:
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Owen A. Lamont & Jeremy C. Stein, 2003.
"Aggregate Short Interest and Market Valuations,"
Harvard Institute of Economic Research Working Papers
2027, Harvard - Institute of Economic Research.
- Ravi Dhar & William Goetzmann, 2005. "Bubble Investors: What Were They Thinking?," Yale School of Management Working Papers ysm446, Yale School of Management, revised 01 Aug 2006.
- Krishnan, C.N.V. & Singh, Ajai K. & Zebedee, Allan A., 2006. "An examination of large sell orders in cold IPO aftermarkets," Journal of Financial Markets, Elsevier, vol. 9(2), pages 119-143, May.
- George Horia Ionescu & Dragos Mihai Ungureanu & Ruxandra Dana Vilag & Florian Bogdan Stoian, 2009. "Financial Contagion And Investors Behavior," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 1(11), pages 57.
- Huh, Sahn-Wook & Subrahmanyam, Avanidhar, 2004. "Order Flow Patterns around Seasoned Equity Offerings and their Implications for Stock Price Movements," University of California at Los Angeles, Anderson Graduate School of Management qt6nm0966w, Anderson Graduate School of Management, UCLA.
- John M. Griffin & Federico Nardari & Rene M. Stulz, 2004.
"Stock Market Trading and Market Conditions,"
NBER Working Papers
10719, National Bureau of Economic Research, Inc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.