The Relationship Between Individual Stock Trading And Returns: The Case Of An Emerging Market

Abstract

This research investigates the relationship between stock trading of individual investors and returns in short horizon in an emerging market. The results indicate that the individuals would like to invest in stocks after declining in the preceding month prices and they would like to sell after increasing in prices. Moreover, we find that there are positive abnormal returns in the month after high buying by individuals and there are negative abnormal returns following high individuals selling. The result is consistent with the literature that the individuals play roles of liquidity providers because they can meet the institutional need of immediacy.