International Evidence on Institutional Trading Behavior and Price Impact

Author

Chiraphol New CHIYACHANTANA, Singapore Management UniversityFollow
Pankaj K. Jain, University of Memphis
Christine X. Jiang, University of Memphis
Robert A. Wood, University of Memphis

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

Citation

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.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/1077

External URL

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

Additional URL

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