International Evidence on Institutional Trading Behavior and Price Impact |
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Authors: | Chiraphol N Chiyachantana Pankaj K Jain Christine Jiang Robert A Wood |
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Institution: | College of Business Administration, California State University, San Marcos; Fogelman College of Business and Economics, University of Memphis |
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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. |
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