The Relationships among Three Major Institutional Investors, General Individual Investors, and the Stock Market

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Title:	The Relationships among Three Major Institutional Investors, General Individual Investors, and the Stock Market
Authors:	Lin, Cho-min;Huang, Bor-yi;Cheng, Wan-hsiu;Wu, Pei-shan
Contributors:	淡江大學財務金融學系
Keywords:	Three major institutional investors;General individual investors;Multivariate GRACH model
Date:	2007-01
Issue Date:	2011-10-24 10:34:18 (UTC+8)
Publisher:	New Delhi: TARU Publications
Abstract:	This study investigates the correlation among the three institutional investors, general individual investors, and the stock market using the multivariate GARCH model. We also analyze the effect of releasing the restriction of foreign investment. The empirical results reveal that trading behavior of foreign institutional investors holds a crucial influence on domestic dealers and general individual investors, and the counter-trading phenomenon of foreign institutional investors and domestic institutional investors is due to different investment judgments. A verification of the impulse response equation reveals institutional investors perform at a faster information transmission effect. Overall, a full opening up of foreign capital might not be as powerful as expected.
Relation:	Journal of Statistics and Management Systems 10(1), pp.87-102
DOI:	10.1080/09720510.2007.10701241
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Journal Article

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