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Daily institutional trades and stock price volatility in a retail investor dominated emerging market

Citations

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Cited by:

  1. Wei Huang & Hong Zhang & Abhinav Goyal & Jason Laws, 2019. "Internal capital market mergers in weak external market environment: An emerging market evidence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(4), pages 1486-1505, October.
  2. Yue Zhao & Difang Wan, 2018. "Institutional high frequency trading and price discovery: Evidence from an emerging commodity futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(2), pages 243-270, February.
  3. Chien, Cheng-Yi & Lee, Hsiu-Chuan & Tai, Shih-Wen & Liao, Tzu-Hsiang, 2013. "Information, hedging demand, and institutional investors: Evidence from the Taiwan Futures Exchange," Journal of Multinational Financial Management, Elsevier, vol. 23(5), pages 394-414.
  4. Walid M.A. Ahmed, 2016. "Cross-border equity flows and market volatility: the case of Qatar Exchange," International Journal of Emerging Markets, Emerald Group Publishing Limited, vol. 11(3), pages 395-418, July.
  5. Tian, Shu & Wu, Eliza & Wu, Qiongbing, 2018. "Who exacerbates the extreme swings in the Chinese stock market?," International Review of Financial Analysis, Elsevier, vol. 55(C), pages 50-59.
  6. Ros Zam Zam Sapian & Jing Quan Lee, 2018. "Return, Volatility and Equity Fund Flows Linkages: Evidence from an Emerging Market," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 8(7), pages 172-186, July.
  7. Ülkü, Numan & Weber, Enzo, 2013. "Identifying the interaction between stock market returns and trading flows of investor types: Looking into the day using daily data," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2733-2749.
  8. Dong, Gang Nathan & Gu, Ming & He, Hua, 2020. "Invisible hand and helping hand: Private placement of public equity in China," Journal of Corporate Finance, Elsevier, vol. 61(C).
  9. Thomas, Ashok & Spataro, Luca & Mathew, Nanditha, 2014. "Pension funds and stock market volatility: An empirical analysis of OECD countries," Journal of Financial Stability, Elsevier, vol. 11(C), pages 92-103.
  10. Umutlu, Mehmet & Shackleton, Mark B., 2015. "Stock-return volatility and daily equity trading by investor groups in Korea," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 43-70.
  11. Geoffrey M. Ngene & Rangan Gupta, 2021. "Impact of Housing Policy Uncertainty on Herding Behavior: Evidence from UK's Regional Housing Markets," Working Papers 202115, University of Pretoria, Department of Economics.
  12. Deniz ikizlerli, 2020. "Institutional investors and stock market volatility. Evidence from Korea," Applied Economics Letters, Taylor & Francis Journals, vol. 27(6), pages 473-476, March.
  13. Darby, Julia & Zhang, Hai & Zhang, Jinkai, 2021. "Institutional trading in volatile markets: Evidence from Chinese stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 65(C).
  14. Guglielmo Maria Caporale & Menelaos Karanasos & Stavroula Yfanti & Aris Kartsaklas, 2021. "Investors' trading behaviour and stock market volatility during crisis periods: A dual long‐memory model for the Korean Stock Exchange," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4441-4461, July.
  15. Kim, Sei-Wan & Lee, Bong-Soo & Kim, Young-Min, 2014. "Who mimics whom in the equity fund market? Evidence from the Korean equity fund market," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 199-218.
  16. Zhang, Tianjiao & Shen, Zhe & Sun, Qian, 2022. "Product market advertising and stock price crash risk," Pacific-Basin Finance Journal, Elsevier, vol. 71(C).
  17. Coakley, Jerry & Kuo, Jing-Ming & Wood, Andrew, 2012. "The School’s Out effect: A new seasonal anomaly!," The British Accounting Review, Elsevier, vol. 44(3), pages 133-143.
  18. Qureshi, Fiza & Kutan, Ali M. & Ismail, Izlin & Gee, Chan Sok, 2017. "Mutual funds and stock market volatility: An empirical analysis of Asian emerging markets," Emerging Markets Review, Elsevier, vol. 31(C), pages 176-192.
  19. Lan, Yueqin & Huang, Yong & Yan, Chao, 2021. "Investor sentiment and stock price: Empirical evidence from Chinese SEOs," Economic Modelling, Elsevier, vol. 94(C), pages 703-714.
  20. Shiqi Gong & Shuaiqiang Liu & Danny D. Sun, 2023. "Optimal Market Making in the Chinese Stock Market: A Stochastic Control and Scenario Analysis," Papers 2306.02764, arXiv.org.
  21. Ahmed, Walid M.A., 2017. "The impact of foreign equity flows on market volatility during politically tranquil and turbulent times: The Egyptian experience," Research in International Business and Finance, Elsevier, vol. 40(C), pages 61-77.
  22. Kong, Dongmin & Lin, Zhiyang & Wang, Yanan & Xiang, Junyi, 2021. "Natural disasters and analysts' earnings forecasts," Journal of Corporate Finance, Elsevier, vol. 66(C).
  23. Yang, Chunpeng & Jia, Yun, 2016. "Buy-sell imbalance and the mean-variance relation," Pacific-Basin Finance Journal, Elsevier, vol. 40(PA), pages 49-58.
  24. Cao, Zhiqi & Lv, Dayong & Sun, Zhenzhen, 2021. "Stock price manipulation, short-sale constraints, and breadth-return relationship," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
  25. Yue Meinn GOH & Ros Zam Zam SAPIAN, 2017. "Return, Volatility And Fund Flows Linkages: Malaysian Evidence," Management and Marketing Journal, University of Craiova, Faculty of Economics and Business Administration, vol. 0(2), pages 59-69, November.
  26. Guiqiang Shi & Dehua Shen & Zhaobo Zhu, 2024. "Herding towards carbon neutrality: The role of investor attention," Post-Print hal-04348526, HAL.
  27. Ikizlerli, Deniz & Holmes, Phil & Anderson, Keith, 2019. "The response of different investor types to macroeconomic news," Journal of Multinational Financial Management, Elsevier, vol. 50(C), pages 13-28.
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