Daily Chinese Institutional Trading and Stock Price Volatility : Revisited

Using the sample from January 1, 2014 to December 31, 2017 from SHSE, we find a non-negative relation between Chinese institutional net trading and stock price volatility, while Li and Wang (2010) show a significantly negative relation between July 1, 2002 to December 31, 2004, and hence attribute to the informational trading by Chinese institutional investors. Although mutual funds and private funds show some evidence of positive association with volatility, dealers shows a zero relation with volatility. We find no evidence that unexpected component conveys more information than expected component of mutual funds and private funds trading. Moreover, we report that this relation differs for bear market and bull market period