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Vo, Lai V., Huong, Le T.T. (2010). Dynamics of institutional trading and stock liquidity. In: Proceedings of the FMA Annual Meeting 2010.To appear.
Abstract. This paper investigates the dynamics of institutional holding and trading and stock liquidity. Inconsistent with some current studies (e.g. Agarwal (2009)), we find that in general, stocks with higher levels of institutional holding have higher liquidity levels. However, this relation does not hold when we control for the number of institutions holding those stocks. We also document that stocks with larger change in institutional holding have higher liquidity, and the stock liquidity is higher for stocks with institutional buying (positive change in institutional holding) than those with institutional selling (negative change in institutional holding). In addition, we contribute to the current finance literature by providing evidence of the level of institutional holding or trading to be used to predict the liquidity level of stocks in short run and vice versa: the higher the levels of the institutions' activities, the higher the future stock liquidity.