The Informative Content of the Net-Buy Information of Institutional Investors in the Taiwan Stock Market: A Revisit Using Conditional Analysis

Chiao and Lin (2004) argue that the strategies following the investment pace of security investment trust companies (SITCs) are more profitable than the market and those following foreign investors (FIs) and security dealers (SDs) in the Taiwan stock market. We reexamine their results under various market events and economic states. Employing the close-to-close returns, our results are mostly consistent with Chiao and Lin (2004) except that, during the period of economic recovery, following FIs is more profitable. However, employing the open-to-close returns and considering transaction costs, none of the strategies are profitable.