Trading duration, mutual funds behavior and stock market shock
Purpose - The purpose of this paper is to explain what information is contained in mutual funds' trading behaviors and to try to further assess the impact on the stock market. Design/methodology/approach - The objective is achieved by an empirical examination using the high-frequency intraday data. The main methods used for the research are the autoregressive conditional duration model and the UHF-GARCH model. Findings - This paper gives an empirical study of mutual funds' behavior on two aspects. The first aspect is the direct impact on micro variables. The results show that mutual funds changing their positions will have different influences to the spread, adding position broadens the spread, while decreasing position makes the spread narrow; behaviors of funds change the clustering characteristic of the duration. The second aspect is the impact on the relationships among micro variables. The results indicate that trading started by liquidity buyers will make volatility larger. Research limitations/implications - This paper supposes funds as informed traders and individual investors as liquidity traders in China's stock market. If it is not true, some interpretations of empirical results would be wrong. The authors' results may help researchers to understand the information content of funds' trading behaviors in the microstructure aspect. Originality/value - The paper is an original work, which will be interesting to scholars in market microstructure and to practitioners in the Chinese stock market. The main contributions of the paper are: the use of high-frequency data to study funds' behaviors and combine the trading duration and investors' trading behavior to analyze the information content of trading behaviors; second, the use of 14 stock samples in the Shanghai Stock Exchange to do the empirical study, which ensures the reliability of the results.
If 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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 1 (2011)
Issue (Month): 3 (July)
|Contact details of provider:|| Web page: http://www.emeraldinsight.com|
|Order Information:|| Postal: Emerald Group Publishing, Howard House, Wagon Lane, Bingley, BD16 1WA, UK|
Web: http://emeraldgrouppublishing.com/products/journals/journals.htm?id=cfri Email:
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Dionne, Georges & Duchesne, Pierre & Pacurar, Maria, 2009.
"Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange,"
Journal of Empirical Finance,
Elsevier, vol. 16(5), pages 777-792, December.
- Georges Dionne & Pierre Duchesne & Maria Pacurar, 2005. "Intraday Value at Risk (IVaR) Using Tick-by-Tick Data with Application to the Toronto Stock Exchange," Cahiers de recherche 0533, CIRPEE.
- Fernandes, Marcelo & Grammig, Joachim, 2006. "A family of autoregressive conditional duration models," Journal of Econometrics, Elsevier, vol. 130(1), pages 1-23, January.
- FERNANDES, Marcelo & GRAMMIG, Joachim, 2001. "A family of autoregressive conditional duration models," CORE Discussion Papers 2001036, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Fernandes, Marcelo & Grammig, Joachim, 2003. "A family of autoregressive conditional duration models," Economics Working Papers (Ensaios Economicos da EPGE) 501, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
- Fernandes, Marcelo & Grammig, Joachim, 2002. "A family of autoregressive conditional duration models," Economics Working Papers (Ensaios Economicos da EPGE) 440, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
- Manganelli, Simone, 2005. "Duration, volume and volatility impact of trades," Journal of Financial Markets, Elsevier, vol. 8(4), pages 377-399, November.
- Manganelli, Simone, 2002. "Duration, volume and volatility impact of trades," Working Paper Series 0125, European Central Bank.
- Meitz, Mika & Terasvirta, Timo, 2006. "Evaluating Models of Autoregressive Conditional Duration," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 104-124, January.
- Meitz, Mika & Teräsvirta, Timo, 2004. "Evaluating models of autoregressive conditional duration," SSE/EFI Working Paper Series in Economics and Finance 557, Stockholm School of Economics, revised 13 Dec 2004.
- Anat R. Admati, Paul Pfleiderer, 1988. "A Theory of Intraday Patterns: Volume and Price Variability," Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 3-40.
- Bohl, Martin T. & Brzeszczynski, Janusz, 2006. "Do institutional investors destabilize stock prices? evidence from an emerging market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(4), pages 370-383, October.
- Martin T. Bohl & Janusz Brzeszczynski, 2005. "Do Institutional Investors Destabilize Stock Prices? Evidence from an Emerging Market," CERT Discussion Papers 0501, Centre for Economic Reform and Transformation, Heriot Watt University.
- Robert F. Engle & Jeffrey R. Russell, 1998. "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data," Econometrica, Econometric Society, vol. 66(5), pages 1127-1162, September.
- Alfonso Dufour & Robert F Engle, 2000. "The ACD Model: Predictability of the Time Between Concecutive Trades," ICMA Centre Discussion Papers in Finance icma-dp2000-05, Henley Business School, Reading University.
- Richard W. Sias & Laura T. Starks, 2006. "Changes in Institutional Ownership and Stock Returns: Assessment and Methodology," The Journal of Business, University of Chicago Press, vol. 79(6), pages 2869-2910, November.
- Diamond, Douglas W. & Verrecchia, Robert E., 1987. "Constraints on short-selling and asset price adjustment to private information," Journal of Financial Economics, Elsevier, vol. 18(2), pages 277-311, June.
- Easley, David & O'Hara, Maureen, 1992. " Time and the Process of Security Price Adjustment," Journal of Finance, American Finance Association, vol. 47(2), pages 576-605, June. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:eme:cfripp:v:1:y:2011:i:3:p:220-240. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Virginia Chapman)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.