International Evidence on Institutional Trading Behavior and Price Impact

Publication Type

Journal Article

Publication Date

4-2004

Abstract

This study characterizes institutional trading in international stocks from 37 countries during 1997 to 1998 and 2001. We find that the underlying market condition is a major determinant of the price impact and, more importantly, of the asymmetry between price impacts of institutional buy and sell orders. In bullish markets, institutional purchases have a bigger price impact than sells; however, in the bearish markets, sells have a higher price impact. This differs from previous findings on price impact asymmetry. Our study further suggests that price impact varies depending on order characteristics, firm-specific factors, and cross-country differences.

Keywords

International Investment, institutional trading, underlying market condition, price impact asymmetry

Discipline

Finance and Financial Management | Portfolio and Security Analysis

Research Areas

Finance

Publication

Journal of Finance

Volume

59

Issue

2

First Page

869

Last Page

898

ISSN

0022-1082

Identifier

10.1111/j.1540-6261.2004.00651.x

Publisher

Wiley

External URL

http://dx.doi.org/10.1111/j.1540-6261.2004.00651.x

Additional URL

https://www.jstor.org/stable/3694916

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