Trading patterns of big versus small players in an emerging market: An empirical analysis

Lee, Yi-Tsung; Lin, Ji‐Chai; Liu, Yu Jane

doi:10.1016/s0378-4266(98)00116-2

Cited by 67 publications

(60 citation statements)

References 16 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Individuals, in turn, have a significant negative performance overall and in every quartile. This outcome is qualitatively similar to that of the simple daily measure [3] in Table 4, with individuals trading at a disadvantage with local and foreign institutions, very much as reported in Taiwan (Chen, Lin, Ma, & Zheng, 2013;Lee et al, 1999) and Korea (Park et al, 2014).…”

Section: Differential Short-term Performancesupporting

confidence: 79%

Who Knows Better in an Emerging Market? Performance of Institutions, Foreigners and Individuals

2015

View full text Add to dashboard Cite

We find that local investors do better than foreigners in terms of trading execution. However foreign investors obtain better returns than local individuals both in short and long term. Local institutions are the best group on both dimensions. Our result reconcile apparent contradictions in the international finance literature on who invests better in an emerging market. These contradictions disappears with a more careful formulation of the research question at hand. The traditional Locals vs Foreigners or Institutions versus Individuals is too simplistic because it doesn't distinguish between the different dimensions of performance. Our study makes use of two unique databases of Colombian stocks and acts as out-of-sample test of previous findings. Moreover, we provide evidence that the better performance of Institutions and Foreigners is driven by information advantages. JEL: G14, G15, D82

show abstract

Section: Differential Short-term Performancesupporting

confidence: 79%

Who Knows Better in an Emerging Market? Performance of Institutions, Foreigners and Individuals

2015

View full text Add to dashboard Cite

show abstract

“…Thus, when he submits an order where its execution is not immediate, he runs the risk that new information arrival does change the asset intrinsic (fundamental) value before his order has been executed. Accordingly, the quicker an order execution, the more limited this risk [Jennings (1998), Lee et al (1999), Shiller (1999), Hirschey (200 l), Foucault (1999)]. Therefore, once these conditions are unmet, a buyer has to pay a price higher than the fundamental value and likely a seller in turn receives inferior lower price.…”

Section: Liquidity Theorymentioning

confidence: 99%

Stock Market Liquidity Measurement via the Bid-Ask Spread: Tunis Stockmarket

Hsini

Mosbahi

2016

BER

View full text Add to dashboard Cite

In this paper, we attempt to explore the nature of the linkage relation of liquidity with market structure. Owing to his function of serving liquidity immediacy, the market maker determines his transacting prices (bid and ask) with all other operators. Accordingly, via his bid-ask spread, he does orient the transaction flow. This study shuts for testing a measure of market liquidity via the bid-ask spread via Stoll Model methodology (1989) on the covariance s' regressions on Tunis stock market over a period stretching from January 2005 until January 2012. The results show that the higher the spread; the less liquid is the market.

show abstract

“…Following Lee et al (2004), we define a domestic individual investor as BIG if he or she trades 30 lots or more (one lot equals 1000 shares) in at least 50% of the days in the sample period. Lee et al (1999) note that ''it is possible that corporate insiders, such as executives, managers, directors, and shareholders with large holdings, and their friends and relatives, are big individual traders, who know more about firms' operations than outsiders." Consequently, trades by big individual investors could be a proxy for trades by insiders.…”

Section: Datamentioning

confidence: 99%