In the mature capital market, the institutional investors have been regarded as an important factor in asset pricing. In China, the proportion of individual investors is more than 99.6%. An individual investor or an institutional investor, who has more influence on A-share stock?The answer is becoming important in asset pricing efficiency in Chinese A-share stock market. The investors' heterogeneous belief is one of the key factors in asset pricing. In this paper, the individual investors' unexpected trading volume (HBR_I) and the institutional investors' unexpected trading volume (HBR_B) are employed as proxies for heterogeneous belief, and uncovers the relationship between the two proxies and stock returns in Chinese A-share stock market. The result shows that stock returns are more significantly related to the individual investor unexpected trading volume than the institutional investors' unexpected trading volume even if considering the factors of size, book-to-market and short-sale constraint. Our findings suggest that the individual investors' heterogeneous beliefs can explain the stock return effectively in Chinese A-share stock markets.
LIU Yan, ZHU Hong-quan
. Individual Investor or Institutional Investor, Who Dominates Asset Pricing in Chinese A-share Stock Market?[J]. Chinese Journal of Management Science, 2018
, 26(4)
: 120
-130
.
DOI: 10.16381/j.cnki.issn1003-207x.2018.04.014
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