International Evidence on Institutional Trading Behavior and Price Impact
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.
International Investment, institutional trading, underlying market condition, price impact asymmetry
Finance and Financial Management | Portfolio and Security Analysis
Journal of Finance
CHIYACHANTANA, Chiraphol New; Jain, Pankaj K.; Jiang, Christine X.; and Wood, Robert A..
International Evidence on Institutional Trading Behavior and Price Impact. (2004). Journal of Finance. 59, (2), 869-898. Research Collection Lee Kong Chian School Of Business.
Available at: http://ink.library.smu.edu.sg/lkcsb_research/1077