The Price Impact of Institutional Trades on S&P 500 Index Futures

27 Pages Posted: 27 Aug 2007

See all articles by Alex Frino

Alex Frino

The University of Sydney - Discipline of Finance; Financial Research Network (FIRN)

Andrew Lepone

University of Sydney; Financial Research Network (FIRN)

George H. K. Wang

George Mason University - Department of Finance

Date Written: July 2007

Abstract

This paper examines price behavior surrounding institutional trades on S&P 500 Index Futures on the CME over the period January 1994 to June 2004. Using CTR data which unambiguously classifies trades as either buyer- or seller-initiated, we find that over the entire sample period, buyer-initiated trades have larger permanent price effects than seller-initiated trades, consistent with previous findings in equity markets. However, we find the permanent price effect for sales is greater than for purchases in bear markets, with the reverse found for bull markets. These results are consistent with the hypothesis that contemporaneous market conditions are the major determinant of asymmetric price effects between purchases and sales in both equity and futures markets.

Keywords: Price Impact, Futures markets

JEL Classification: G12

Suggested Citation

Frino, Alex and Lepone, Andrew and Wang, George H. K., The Price Impact of Institutional Trades on S&P 500 Index Futures (July 2007). Available at SSRN: https://ssrn.com/abstract=1009071 or http://dx.doi.org/10.2139/ssrn.1009071

Alex Frino

The University of Sydney - Discipline of Finance ( email )

Futures Research Centre
P.O. Box H58
Sydney NSW
Australia
+61 2 9299 1809 (Phone)
+61 2 9299 1830 (Fax)

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Andrew Lepone (Contact Author)

University of Sydney ( email )

University of Sydney
Sydney NSW 2006
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

George H. K. Wang

George Mason University - Department of Finance ( email )

Fairfax, VA 22030
United States

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