Institutional investors' involuntary trading behaviors, commonality in liquidity change and stock price fragility

Purpose - The aim of this paper is to empirically analyze the source of commonality in liquidity change in China's stock market.Design methodology approach - This paper used two-step test method in Coughenour and Saad and empirically tested the relationship between institutional investors'...

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Bibliographic Details
Published inChina finance review international Vol. 3; no. 1; pp. 90 - 110
Main Authors Chen, Guojin, Xu, Aihuan, Zhao, Xiangqin
Format Journal Article
LanguageEnglish
Published Beijing Emerald Group Publishing Limited 01.01.2013
Subjects
Behavior
Financial leverage
Influence
Institutional investments
Investment policy
Literature reviews
Parameter estimation
R&D
Research & development
Research design
Securities markets
Stock exchanges
Stock prices
Studies
Supply & demand
China
Involuntary trading behaviors
Commonality in liquidity
Stocks
Investments
China
Stock price fragility
Institutional investors
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Summary:Purpose - The aim of this paper is to empirically analyze the source of commonality in liquidity change in China's stock market.Design methodology approach - This paper used two-step test method in Coughenour and Saad and empirically tested the relationship between institutional investors' involuntary trading behaviors and commonality in liquidity change in China's stock market.Findings - The results showed that to take the open-end fund as a representative of institutional investors, their involuntary trading behaviors were an important source of commonality in liquidity change in China's stock market.Originality value - For a long time, the domestic researchers have ignored the study about the source of commonality in liquidity change in China's stock market. But, this study's conclusion expanded the explanation about the source of commonality in liquidity change in China's stock market from a new point of view that the demand-side explanation. Because there is no market-maker trading behaviors in China's stock market, the paper cannot explain the source of commonality in liquidity change in China's stock market from the point of view of the supply-side explanation.
ISSN:2044-1398
2044-1401
DOI:10.1108/20441391311290794