International Evidence on Institutional Trading Behavior and Price Impact

48 Pages Posted: 13 Jun 2007 Last revised: 12 Nov 2013

See all articles by Chiraphol N. Chiyachantana

Chiraphol N. Chiyachantana

Singapore Management University; Singapore Management University - Lee Kong Chian School of Business

Pankaj K. Jain

University of Memphis - Fogelman College of Business and Economics

Christine X. Jiang

Fudan University

Robert Wood

University of Memphis - Fogelman College of Business and Economics

Date Written: December 1, 2004

Abstract

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

Suggested Citation

Chiyachantana, Chiraphol N. and Jain, Pankaj K. and Jiang, Christine X. and Wood, Robert A., International Evidence on Institutional Trading Behavior and Price Impact (December 1, 2004). Available at SSRN: https://ssrn.com/abstract=993323

Chiraphol N. Chiyachantana (Contact Author)

Singapore Management University ( email )

Lee Kong Chian School of Business
50 Stamford Road
Singapore, 178899
Singapore
65-6828-0776 (Phone)
65-6828-0427 (Fax)

Singapore Management University - Lee Kong Chian School of Business ( email )

469 Bukit Timah Road
Singapore 912409
Singapore

Pankaj K. Jain

University of Memphis - Fogelman College of Business and Economics ( email )

Memphis, TN 38152
United States

Christine X. Jiang

Fudan University ( email )

School of Management
Shanghai, 200433
China
862125011085 (Phone)

Robert A. Wood

University of Memphis - Fogelman College of Business and Economics ( email )

Memphis, TN 38152
United States
901-678-2670 (Phone)
901-678-3006 (Fax)

HOME PAGE: http://www.people.memphis.edu/~rwood/

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