We examine the short-run dynamic relation between daily institutional trading and stock price volatility in a retail investor-dominated emerging market. We find a significantly negative relation between volatility and institutional net trading that is mainly due to the unexpected institutional...

Traders differ in speed and their speed differences matter. I model strategic interactions induced when high frequency traders (HFTs) have different speeds in an extended Kyle (1985) framework. HFTs are assumed to anticipate incoming orders and trade rapidly to exploit normal-speed traders'...

We investigate the joint effects of short-selling, floating constraints and heterogeneous beliefs on stock prices by using a unique data set of cross-listed Chinese stocks. Because domestic A-shares are subject to both short-selling and floating restrictions while foreign H-shares are not,...

In this study, we use daily trading data to investigate the performance of institutional investors in the Chinese stock market, which is dominated by retail investors. We find that stocks with intense institutional net buying significantly outperform those with intense institutional net selling...