Comparative Study of Momentum and Contrarian Behavior of Different Investors: Evidence from the Indian Market
作者： Bhaskar Chhimwal , Varadraj Bapat
DOI: 10.1007/S10690-020-09315-3
关键词:
摘要: We examine the investment behavior of Foreign Portfolio Investors (FPIs), Domestic Institutional (DIIs), and retail investors based on past returns in Indian context. Using quarterly shareholding return data firms from 2009 to 2018, this study employs m × n momentum strategy proposed by Jegadeesh Titman (J Finance 48(1):65–91, 1993). A robust correlation-based comprehensive technique is used find contrarian behavior. It observed that FIIs DIIs show short run market whereas Moreover, Retail investors’ found be stronger losing firms. This also reports service-oriented industries while investor which require local knowledge. These findings may useful for policymakers, portfolio managers academicians emerging markets economies.
springer.com
sci-hub.st 参考文章(46)
Mutual Fund Investments, FII Investments and Stock Market Returns in India SSRN Electronic Journal. ,(2012) , 10.2139/SSRN.2204418
Anchor Y. Lin, Peggy E. Swanson, The Behavior and Performance of Foreign Investors in Emerging Equity Markets: Evidence from Taiwan International Review of Finance. ,vol. 4, pp. 189- 210 ,(2003) , 10.1111/J.1468-2443.2005.00046.X
Kun Wang, Sewon O, M. Cathy Claiborne, Determinants and consequences of voluntary disclosure in an emerging market: Evidence from China Journal of International Accounting, Auditing and Taxation. ,vol. 17, pp. 14- 30 ,(2008) , 10.1016/J.INTACCAUDTAX.2008.01.001
Phan Khoa Cuong, Zhou Jian, Factors Influencing Individual Investors’ Behavior: An Empirical Study of the Vietnamese Stock Market American Journal of Business and Management. ,vol. 3, pp. 77- 94 ,(2014) , 10.11634/216796061706527
Sanjay Sehgal, Neeta Tripathi, Investment Strategies of Fiis in the Indian Equity Market Vision: The Journal of Business Perspective. ,vol. 13, pp. 11- 18 ,(2009) , 10.1177/097226290901300102
Peter Blair Henry, Do Stock Market Liberalizations Cause Investment Booms Journal of Financial Economics. ,vol. 58, pp. 301- 334 ,(2000) , 10.1016/S0304-405X(00)00073-8
Rıza Demirer, Donald Lien, Huacheng Zhang, Industry herding and momentum strategies Pacific-basin Finance Journal. ,vol. 32, pp. 95- 110 ,(2015) , 10.1016/J.PACFIN.2015.02.010
Joseph Kang, Ming-Hua Liu, Sophie Xiaoyan Ni, Contrarian and momentum strategies in the China stock market: 1993–2000 Pacific-Basin Finance Journal. ,vol. 10, pp. 243- 265 ,(2002) , 10.1016/S0927-538X(02)00046-X
Nelson Maina Waweru, Evelyne Munyoki, Enrico Uliana, None, The effects of behavioural factors in investment decision-making: a survey of institutional investors operating at the Nairobi Stock Exchange International Journal of Business and Emerging Markets. ,vol. 1, pp. 24- 41 ,(2008) , 10.1504/IJBEM.2008.019243
Sanjay Sehgal, Srividya Subramaniam, Laurence Porteu De La Morandiere, A Search for Rational Sources of Stock Return Anomalies: Evidence from India International journal of economics and finance. ,vol. 4, pp. 121- ,(2012) , 10.5539/IJEF.V4N4P121