Posted: 2 Jan 2004
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: Suggested Citation
Griffin, John M. and Harris, Jeffrey H. and Topaloglu, Selim, The Dynamics of Institutional and Individual Trading. Journal of Finance, Forthcoming. Available at SSRN: https://ssrn.com/abstract=459721