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Stock returns, order imbalances, and commonality: Evidence on individual, institutional, and proprietary investors in China

  • Bailey, Warren
  • Cai, Jun
  • Cheung, Yan Leung
  • Wang, Fenghua
Registered author(s):

    Using a unique dataset from the Shanghai Stock Exchange, we study the relation between daily open-to-close stock returns and order imbalances, and the commonality in order imbalances across individual, institutional, and proprietary investors. We find that institutional (proprietary) order imbalances have a larger price impact, but account for a significantly smaller proportion of daily price fluctuations. Commonality is much stronger for individual, rather than institutional (proprietary), order imbalances. Institutional (proprietary) investors favor large capitalization stocks, and co-movement in institutional (proprietary) order imbalances is stronger for these stocks.

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    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 33 (2009)
    Issue (Month): 1 (January)
    Pages: 9-19

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    Handle: RePEc:eee:jbfina:v:33:y:2009:i:1:p:9-19
    Contact details of provider: Web page: http://www.elsevier.com/locate/jbf

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