International Evidence on Institutional Trading Behavior and Price Impact

• Main Authors: CHIYACHANTANA, Chiraphol New, Jain, Pankaj K., Jiang, Christine X., Wood, Robert A.
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2004
• 主題: International Investment; institutional trading; underlying market condition; price impact asymmetry; Finance and Financial Management; Portfolio and Security Analysis
• 在線閱讀: https://ink.library.smu.edu.sg/lkcsb_research/1077; https://doi.org/10.1111/j.1540-6261.2004.00651.x

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 o...