Institutional Investors Holding, Market-Maker System, and Stock Liquidity: An Empirical Study Based on the NEEQ Market

Yang Wang

doi:10.20965/jaciii.2018.p0429

single-jc.php

« previous

JACIII Vol.22 No.4 pp. 429-436

doi: 10.20965/jaciii.2018.p0429

(2018)

Paper:

Views over last 60 days: 965

Institutional Investors Holding, Market-Maker System, and Stock Liquidity: An Empirical Study Based on the NEEQ Market

Yang Wang

School of Economics and Management, Anhui Normal University
No. 189 Jiuhua South Road, Wuhu, Anhui 241002, China

Received:

July 21, 2017

Accepted:

December 23, 2017

Published:

July 20, 2018

Keywords:

institutional investors holding, market-maker system, stock liquidity, NEEQ market

Abstract

This paper demonstrates the influence of institutional investors shareholding on stock liquidity by means of samples from the NEEQ market from 2014 to 2016. The results of this study suggest that, first, institutional investors shareholding will reduce the liquidity of stocks under agreement trading, and the higher the proportion of shareholding, the worse will become the liquidity. Second, shareholding by institutional investors significantly increases the liquidity of stocks under market-making trade. Third, owing to the function of class market making, the influence of private ownership on liquidity is more positive than that of other kinds of institutional shareholding.

Cite this article as:

Y. Wang, “Institutional Investors Holding, Market-Maker System, and Stock Liquidity: An Empirical Study Based on the NEEQ Market,” J. Adv. Comput. Intell. Intell. Inform., Vol.22 No.4, pp. 429-436, 2018.

Data files:

References

[1] Q. Cai and Y. Song, “Can the hyper-normal development of institutional investors stabilize the market?,” Economic Research J., Vol.1, pp. 90-101, 2010.
[2] Q. Lei, J. Liu, and W. Gong, “Institutional investor’s ownership and liquidity costs – empirical evidence from Chinese listed companies,” J. of Financial Research, Vol.7, pp. 182-195, 2012.
[3] D. Kong, G. Kong, and S. Liu, “Institutional investors, liquidity and information efficiency,” J. of Management Sciences in China, Vol.18, pp. 1-15, 2015.
[4] H. Chen and Q. Wang, “How does institutional investor affect stock liquidity? trading hypothesis or information hypothesis,” J. of Business Economics, Vol.6, pp. 71-80, 2012.
[5] P. Agarwal, “Institutional ownership and stock liquidity,” Cornell University, 2007.
[6] L. R. Glosten and P. R. Milgrom, “Bid, Ask and transaction prices in a specialist market with heterogeneously informed traders,” J. of Financial Economics, Vol.14, pp. 71-100, 1985.
[7] A. S. Kyle, “Continuous auctions and insider trading,” Econometrica: J. of the Econometric Society, Vol.53, No.6, pp. 1315-1335, 1985.
[8] D. Easley and M. O’hara, “Price, Trade size and information in securities markets,” J. of Financial Economics, Vol.19, pp. 69-90, 1987.
[9] S. Yu, C. Wang, and Z. Fang, “Analysis of Quasi-market Makers’ Trading Behavior Characteristic in chinese Stock Market,” Systems Engineering, Vol.34, No.4, pp. 1-8, 2016.
[10] Z. Zhang, Y. Li, and Y. Zhang, “A test on indirect liquidity measures in China stock market: an empirical analysis of the direct and indirect measures of bid-ask spread,” China Economic Quarterly, Vol.1, pp. 0-11, 2014.
[11] Y. Amihud, “Illiquidity and stock returns: cross-section and time-series effects,” J. of Financial Markets, Vol.7, pp. 31-56, 2002.
[12] J. Hasbrouck, “Trading costs and returns for US equities: estimating effective costs from daily data,” The J. of Finance, Vol.64, pp. 1445-1477, 2009.
[13] W. Qu, Y. Xie, and J. Gao, “The empirical research for the relationship between ownership structure and liquidity under the influence of the information asymmetry,” Nankai Business Review, Vol.14, No.1, pp. 44-53, 2011.
[14] E. Boehmer and E. K. Kelley, “Institutional investors and the informational efficiency of prices,” Review of Financial Studies, Vol.22, No.9, pp. 3563-3594, 2009.

This article is published under a Creative Commons Attribution-NoDerivatives 4.0 Internationa License.

[1] [1] Q. Cai and Y. Song, “Can the hyper-normal development of institutional investors stabilize the market?,” Economic Research J., Vol.1, pp. 90-101, 2010.

[2] [2] Q. Lei, J. Liu, and W. Gong, “Institutional investor’s ownership and liquidity costs – empirical evidence from Chinese listed companies,” J. of Financial Research, Vol.7, pp. 182-195, 2012.

[3] [3] D. Kong, G. Kong, and S. Liu, “Institutional investors, liquidity and information efficiency,” J. of Management Sciences in China, Vol.18, pp. 1-15, 2015.

[4] [4] H. Chen and Q. Wang, “How does institutional investor affect stock liquidity? trading hypothesis or information hypothesis,” J. of Business Economics, Vol.6, pp. 71-80, 2012.

[5] [5] P. Agarwal, “Institutional ownership and stock liquidity,” Cornell University, 2007.

[6] [6] L. R. Glosten and P. R. Milgrom, “Bid, Ask and transaction prices in a specialist market with heterogeneously informed traders,” J. of Financial Economics, Vol.14, pp. 71-100, 1985.

[7] [7] A. S. Kyle, “Continuous auctions and insider trading,” Econometrica: J. of the Econometric Society, Vol.53, No.6, pp. 1315-1335, 1985.

[8] [8] D. Easley and M. O’hara, “Price, Trade size and information in securities markets,” J. of Financial Economics, Vol.19, pp. 69-90, 1987.

[9] [9] S. Yu, C. Wang, and Z. Fang, “Analysis of Quasi-market Makers’ Trading Behavior Characteristic in chinese Stock Market,” Systems Engineering, Vol.34, No.4, pp. 1-8, 2016.

[10] [10] Z. Zhang, Y. Li, and Y. Zhang, “A test on indirect liquidity measures in China stock market: an empirical analysis of the direct and indirect measures of bid-ask spread,” China Economic Quarterly, Vol.1, pp. 0-11, 2014.

[11] [11] Y. Amihud, “Illiquidity and stock returns: cross-section and time-series effects,” J. of Financial Markets, Vol.7, pp. 31-56, 2002.

[12] [12] J. Hasbrouck, “Trading costs and returns for US equities: estimating effective costs from daily data,” The J. of Finance, Vol.64, pp. 1445-1477, 2009.

[13] [13] W. Qu, Y. Xie, and J. Gao, “The empirical research for the relationship between ownership structure and liquidity under the influence of the information asymmetry,” Nankai Business Review, Vol.14, No.1, pp. 44-53, 2011.

[14] [14] E. Boehmer and E. K. Kelley, “Institutional investors and the informational efficiency of prices,” Review of Financial Studies, Vol.22, No.9, pp. 3563-3594, 2009.