Who Trades with Whom? Individuals, Institutions, and Returns

44 Pages Posted: 19 Mar 2008 Last revised: 7 Jul 2014

See all articles by Noah Stoffman

Noah Stoffman

Indiana University - Kelley School of Business - Department of Finance

Date Written: May 13, 2014

Abstract

Using all trading in Finland over a fifteen-year period, I study the relation between price changes and the trading of individuals and financial institutions. On average, prices increase when institutions buy from individuals, and decrease when institutions sell to individuals. No such consistent pattern is observed 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.

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

JEL Classification: G10, G12, G14

Suggested Citation

Stoffman, Noah, Who Trades with Whom? Individuals, Institutions, and Returns (May 13, 2014). Journal of Financial Markets, Forthcoming, Available at SSRN: https://ssrn.com/abstract=1029626 or http://dx.doi.org/10.2139/ssrn.1029626

Noah Stoffman (Contact Author)

Indiana University - Kelley School of Business - Department of Finance ( email )

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

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

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