Transaction Driving of Institutional Investors in Different Market Trends: Evidence from Trading Volume in China Stock Market

摘要

We investigate the inter-temporal interaction between trading volume and stock return of institutional investors in different market trends, in order to test how trading activities of institutional investors are driven. It indicates that overconfidence and deposition effects play a much stronger role in transaction driving of institutional investors in a rising market than in a declining market, and their effects are also more continuous in a rising market.