| Summary: | 碩士 === 國立高雄第一科技大學 === 金融營運所 === 95 === I investigate the relationship between stock return synchronicity and institutional investor’s behavior. In my study, institutional investor’s transactions include shareholdings, turnover rates, the numbers of institutional investors, the numbers of institutional shareholdings over 1%. In OLS linear regression models, I find stock return synchronicity is negative with institutional investor’ behavior, which means that institutional investor’ behavior conveys more firm-specific information in the stock returns. The findings consist with our hypotheses. I separate the samples by different types of institutional investor’s shareholdings, because institutional investors have the advantage to absorb firm information. No matter the company is dominated by which type of institutional investors, the institutional investor transaction information is negative with stock return synchronicity and the affect is getting stronger. It shows that the institutional investors’ behavior impounds more firm-specific information into stock return. At the same time, it reveals that industrial and market information react less on stock returns. In robustness tests, the outcome is consistent with regression analysis.
|
|---|
