دانلود رایگان مقاله مدلسازی پویایی سرمایه گذاران نهادی و فردی از طریق قیمت توافقی

Abstract

In this paper, we present a price consensus measure for understanding the dynamics among institutional, foreign, and individual investors. The proposed measure inversely estimates investors' daily views on the value of an asset, which incorporates the price consensus of the investor type. The price consensus measure is derived based on a rational expectation asset model and CARA utility function, and its effectiveness is empirically demonstrated by conducting cross-sectional analyses on historical trade data of the Korean stock market. These analyses demonstrate the advantage of using the price consensus measure when compared against modeling only net purchase amounts. Moreover, the findings show that institutional and foreign investors tend to have distinct long-term views while individual investors have views that are less extreme and thus showing characteristics of uninformed trades. Findings on short-term views exhibit information spillover from institutional and foreign investors to individuals.

4. Conclusion

Examining the behavior of investors is critical for understanding the dynamics of the financial market. Thus, there has been various studies that model investment behavior. This paper concentrates on the dynamics among three major types of investors: institutional, foreign, and individual investors. In order to provide a more thorough analysis, a measure on price consensus is presented along with its theoretical derivation. The main contribution of this paper is proposing the price consensus measure and demonstrating its advantage empirically when compared against previous approaches that only exploit information from net transaction amounts. The effectiveness of the price consensus measure is tested using historical data of the Korean stock market due to the availability of data on stocks and investor transactions. Several analyses are performed, including correlation tests and vector auto-regression tests, for the constituents stocks of the KOSPI 100 index in 2008 and 2014. The results reveal that institutional and foreign investors tend to have long-term views that are either the highest or the lowest while individual investors tend to have views in between the two. This indicates that institutions and foreigners are more self-initiated traders in the long-term. In addition, foreign investors usually underestimated the price during the financial crisis period of 2008. The findings on short-term views illustrate that all three investor types are momentum investors and evidence of spillover effects are also observed. Finally, the observations obtained from the price consensus measure exhibits many implications that match prior studies, which confirms the strength of the proposed measure as well as its capability of modeling various aspects of investment behavior.