International Evidence on Institutional Trading Behavior and Price Impact
48 Pages Posted: 13 Jun 2007 Last revised: 12 Nov 2013
Date Written: December 1, 2004
This study characterizes institutional trading in international stocks from 37 countries during 1997 to 1998 and 2001. We find that the underlying market condition is a major determinant of the price impact and, more importantly, of the asymmetry between price impacts of institutional buy and sell orders. In bullish markets, institutional purchases have a bigger price impact than sells; however, in the bearish markets, sells have a higher price impact. This differs from previous findings on price impact asymmetry. Our study further suggests that price impact varies depending on order characteristics, firm-specific factors, and cross-country differences.
Keywords: International Investment, institutional trading,underlying market condition, price impact asymmetry
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