Who Trades With Whom? Individuals, Institutions, and Returns
Indiana University Bloomington - Department of Finance
December 28, 2012
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, G14working papers series
Date posted: March 19, 2008 ; Last revised: January 10, 2013
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