Abstract

AbstractThis paper examines the impact of mutual fund trading on stock prices in the Chinese equity market from 2004 to 2013. We have found that there is a strong positive contemporaneous correlation between stock returns and mutual fund holdings and trading. In addition, the price impact is more significant in mutual funds buying than in mutual funds selling. Finally, our findings support the hypothesis that the price impact of mutual fund holdings and trading on stock returns arise from momentum trading or price pressure.KeywordsPrice impactMutual fundsMomentum tradingPrice pressure

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