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International Evidence on Institutional Trading Behavior and Price Impact

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  • Chiraphol N. Chiyachantana

    (College of Business Administration, California State University, San Marcos)

  • Pankaj K. Jain

    (Fogelman College of Business and Economics, University of Memphis)

  • Christine Jiang

    (Fogelman College of Business and Economics, University of Memphis)

  • Robert A. Wood

    (Fogelman College of Business and Economics, University of Memphis)

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. Copyright 2004 by The American Finance Association.

Suggested Citation

  • Chiraphol N. Chiyachantana & Pankaj K. Jain & Christine Jiang & Robert A. Wood, 2004. "International Evidence on Institutional Trading Behavior and Price Impact," Journal of Finance, American Finance Association, vol. 59(2), pages 869-898, April.
  • Handle: RePEc:bla:jfinan:v:59:y:2004:i:2:p:869-898
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