Who moves the stock market in an emerging country – Institutional or retail investors?

Koesrindartoto, Deddy P.; Aaron, Aurelius; Yusgiantoro, Inka; Dharma, Wirata Adi; Arroisi, Abdurrohman

doi:10.1016/j.ribaf.2019.101061

Cited by 23 publications

(11 citation statements)

References 42 publications

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“…1 As the institutional investors continue to enter the BTC market as it becomes mature, their trading activity is expected to play a vital role in the price discovery of BTC. The important role of institutional investors in an asset market is documented in numerous studies for equity (e.g., Chan & Lakonishok, 1995;Foster et al, 2011;Sias et al, 2001), and institutional trading is also reported to drive the stock market more than retail trading (e.g., Griffin et al, 2003;Koesrindartoto et al, 2020;Stoffman, 2014). Since the current literature has not clearly explained the significance of institutional trading activity in the price discovery of BTC, our study will provide more empirical evidence on this branch of the literature.…”

Section: Introductionmentioning

confidence: 82%

Price discovery in the cryptocurrency market: evidence from institutional activity

2021

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Section: Introductionmentioning

confidence: 82%

Price discovery in the cryptocurrency market: evidence from institutional activity

2021

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“…Hong and Kacperczyk (2009) demonstrated that ethical equities were mostly owned by institutional investors rather than individual ones. Conceptually, institutional investors, such as insurance companies, banks, regional institutions and universities are well-informed, sophisticated and rational arbitrageurs, whereas individual investors are known to be noisy traders (Koesrindartoto et al, 2020;Kumari, 2019;Ryu et al, 2017). Therefore, ethical stocks are less mispriced than their non-ethical counterparts.…”

Section: Previous Studiesmentioning

confidence: 99%

Are Islamic Stocks Less Exposed to Sentiment-Based Mispricing Than Non-Islamic Ones? Evidence From the Indonesian Stock Exchange

Hashfi

Naufa

Munawaroh

2021

JIMF

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The aim of this research is to verify the role of Islamic value in stock mispricing in the Indonesian capital market. Empirically, high investor sentiment can lead to mispricing on equity appraisal. When investors feel excessively optimistic about their valuation, equity will be overpriced, or vice versa. The presence of Islamic values, such as the prohibition of interest, speculative and uncertain transactions, and excessive leverage, arguably reduce sentiment-based mispricing. Daily and cross-sectional market data were employed. In addition, principal component analysis was conducted to construct a firm-specific investor sentiment variable. With regard to the method, the Hausman-Taylor (H-T) approach was used to deal with heterogeneity, endogeneity, and the time-invariant variable in Fama-MacBeth regression. The results show that our baseline analysis confirms the mispricing of overall stocks. However, Islamic stocks are less exposed to sentiment-based mispricing than their non-Islamic counterparts. The results are consistent with our robustness test, in which we estimate the equation model across industry and portfolio. Finally, our findings imply various insights for both investors and policymakers.

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“…Recent research conducted in Indonesia by [23] reveals that both individual investors and large investors use a contrarian strategy and momentum strategy, and small investors trade more often with small frequency in the short-term, and big investors do not frequently but by trading large amounts over the long-term. Previously, [24] stated that both domestic investors and foreign investors trade using a contrarian strategy in large and medium-sized companies.…”

Section: A Recent Research On Strategic Momentum In the Indonesian Capital Marketmentioning

confidence: 99%

A Review of Momentum Strategy in Capital Market

Syamni¹,

Wardhiah²,

Sari³

et al. 2021

Proceedings of the International Conference on Social Science, Political Science, and Humanities (ICoSPOLHUM 2020)

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This research is a literature research review that focuses on the topic of the momentum strategy in the capital market. This strategy is a trading strategy carried out by investors by buying stocks that have performed well in the hope that the performance will continue well in the future. The results of the study show that most of the capital market investors carried out a momentum strategy even though the implementation is still inconsistent. It indicates that the development of several capital markets leads to inefficient markets.

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Who moves the stock market in an emerging country – Institutional or retail investors?

Cited by 23 publications

References 42 publications

Price discovery in the cryptocurrency market: evidence from institutional activity

Price discovery in the cryptocurrency market: evidence from institutional activity

Are Islamic Stocks Less Exposed to Sentiment-Based Mispricing Than Non-Islamic Ones? Evidence From the Indonesian Stock Exchange

A Review of Momentum Strategy in Capital Market

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