The Dynamics of Institutional and Individual Trading

55 Pages Posted: 11 Jul 2002  

John M. Griffin

University of Texas at Austin - Department of Finance

Selim Topaloglu

Queen's University - Smith School of Business

Jeffrey H. Harris

American University

Multiple version iconThere are 2 versions of this paper

Date Written: May 20, 2002

Abstract

Using a unique data set of Nasdaq 100 stocks, we study the daily and intradaily trading patterns of individuals and institutions. Stocks in the top return performance decile are bought in net by institutions (and sold in net by individuals) on the following day 65.2 percent of the time as compared to only 41.3 percent of the time in the bottom performance decile. At the daily and intradaily frequency, vector autoregression analysis indicates that institutional buying (and individual selling) activity strongly follows returns. On a daily basis we find no evidence that institutional trading activity predicts future price movements. Intradaily evidence of this activity is extremely small and short-lived as compared to the effect of momentum investing. Daily and intradaily momentum investing are primarily responsible for the contemporaneous relationship between returns and changes in institutional ownership found at longer intervals.

JEL Classification: G11, G12, G15

Suggested Citation

Griffin, John M. and Topaloglu, Selim and Harris, Jeffrey H., The Dynamics of Institutional and Individual Trading (May 20, 2002). Available at SSRN: https://ssrn.com/abstract=316566 or http://dx.doi.org/10.2139/ssrn.316566

John M. Griffin (Contact Author)

University of Texas at Austin - Department of Finance ( email )

Red McCombs School of Business
Austin, TX 78712
United States
512-471-6621 (Phone)

HOME PAGE: http://www.jgriffin.info

Selim Topaloglu

Queen's University - Smith School of Business ( email )

437 Goodes Hall
143 Union St.
Kingston, Ontario K7L 3N6
Canada
613-533-6573 (Phone)
613-533-2321 (Fax)

Jeffrey H. Harris

American University ( email )

Kogod School of Business
4400 Massachusetts Ave., N.W.
Washington, DC 20016-8044
United States
202-885-6669 (Phone)

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