Who Trades With Whom? Individuals, Institutions, and Returns

Stoffman, Noah

doi:10.2139/ssrn.1029626

Abstract

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Who Trades With Whom? Individuals, Institutions, and Returns

Noah Stoffman

Indiana University Bloomington - Department of Finance

December 28, 2012

Abstract:
Using the record of all trading in Finland over a fifteen-year period, I study the relation between price changes and the trading of individuals and financial institutions. Prices increase when institutions buy from institutions, and decrease when institutions sell to individuals. Prices do not move significantly when individuals trade with other individuals, or when institutions trade with other institutions. If prices do move while individuals trade among themselves, they quickly revert. These reversals occur as institutions trade with individuals in a direction that pushes prices toward previous levels. Prices move in response to institutional trading, and individuals supply liquidity to institutions.

Number of Pages in PDF File: 44

Keywords: Institutional investors, Individual investors, Liquidity provision, Price impact

JEL Classification: G10, G12, G14

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Date posted: March 19, 2008 ; Last revised: January 10, 2013

Suggested Citation

Stoffman, Noah, Who Trades With Whom? Individuals, Institutions, and Returns (December 28, 2012). Available at SSRN: http://ssrn.com/abstract=1029626 or http://dx.doi.org/10.2139/ssrn.1029626

Contact Information

Noah Stoffman (Contact Author)

Indiana University Bloomington - Department of Finance ( email )

1309 E. 10th St.
Bloomington, IN 47405
United States
(812) 856-5664 (Phone)

HOME PAGE: http://kelley.iu.edu/nstoffma/