Investor Clientele and Intraday Patterns in the Cross-section of Stock Returns

Khan, A., Haboub, A., Chen, J. and Mahmud, S. (2024) Investor Clientele and Intraday Patterns in the Cross-section of Stock Returns. Review of Quantitative Finance and Accounting. 0924-865X. (In Press)

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Khan_et_al_2024_Investor_Clientele_and_Intraday_Patterns_in_the_Cross-section_of_Stock_Returns.pdf - Accepted Version
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Abstract:

This paper examines the existence of a well documented Heston, Korajczyk, and Sadka (2010) (hereafter HKS (2010)) intraday momentum pattern in the cross section of stock returns for three previously un-examined markets outside the US - UK, China and Brazil. While the stocks in UK and Brazil exhibit the pattern, the evidence from China is lacklustre. We utlitlize the presence of dual listed A- hares ( dominated by domestic retail investors) and their B- and H-share counterparts (dominated by foreign institutional investors) of the same firms which provide a natural experiment setting to analyse the impact of investor clientele on the proliferation of HKS (2010) pattern. Our findings indicate that pattern is much weaker in A-shares (owned mostly by domestic retail investors) as compared to their B- and H- share counterparts. As a further robustness test we examine the impact of an exogenous shock that leads to an increase in institutional ownership namely the partial index inclusion of A-shares in the Morgan Stanley Capital International (MSCI) Emerging Markets Index. Our findings indicate an increasing level of the manifestation of the intraday pattern upon inclusion of A-shares to the MSCI.

Uncontrolled Keywords:

Intraday momentum, Limits of Arbitrage, Investor Composition, Emerging markets

Creators:

Khan, A., Haboub, A., Chen, J. and Mahmud, S.

Faculties, Divisions and Institutes:

Faculties > Faculty of Business & Law > Accounting & Finance

Date:

22 June 2024

Date Type:

Acceptance

Journal or Publication Title:

Review of Quantitative Finance and Accounting

Language:

English

ISSN:

0924-865X

Status:

In Press

Refereed:

Yes