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The Informative Content of the Net-Buy Information of Institutional Investors in the Taiwan Stock Market: A Revisit Using Conditional Analysis

Author

Listed:
  • Chaoshin Chiao

    (Department of Finance, National Dong Hwa University, Hualien, Taiwan, ROC)

  • David C. Cheng

    (Department of International Business, National Dong Hwa University, Hualien, Taiwan, ROC)

  • Yunju Shao

    (Union Bills Finance Co., Ltd., Taipei, Taiwan, ROC)

Abstract

Chiao and Lin (2004) argue that the strategies following the investment pace of security investment trust companies (SITCs) are more profitable than the market and those following foreign investors (FIs) and security dealers (SDs) in the Taiwan stock market. We reexamine their results under various market events and economic states. Employing the close-to-close returns, our results are mostly consistent with Chiao and Lin (2004) except that, during the period of economic recovery, following FIs is more profitable. However, employing the open-to-close returns and considering transaction costs, none of the strategies are profitable.

Suggested Citation

  • Chaoshin Chiao & David C. Cheng & Yunju Shao, 2006. "The Informative Content of the Net-Buy Information of Institutional Investors in the Taiwan Stock Market: A Revisit Using Conditional Analysis," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 9(04), pages 661-697.
    • Handle: RePEc:wsi:rpbfmp:v:09:y:2006:i:04:n:s0219091506000896
    DOI: 10.1142/S0219091506000896
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    Citations

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    Cited by:

    1. Lowe, Alpha, 2014. "The demand-side explanation for commonality in liquidity: The role of institutional ownership in the Taiwan Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 59-85.
    2. Chaoshin Chiao & Zi-May Wang & Shiau-Yuan Tong, 2017. "Order cancellations across investor groups: evidence from an emerging order-driven market," Review of Quantitative Finance and Accounting, Springer, vol. 49(4), pages 1167-1193, November.
    3. Chiao, Chaoshin & Chen, Shin-Hui & Hu, Jia-Ming, 2010. "Informational differences among institutional investors in an increasingly institutionalized market," Japan and the World Economy, Elsevier, vol. 22(2), pages 118-129, March.

    More about this item

    Keywords

    Foreign investors; security investment trust companies; security dealers; conditional analysis; JEL Classification: G11; JEL Classification: G24;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services
    • G3 - Financial Economics - - Corporate Finance and Governance

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