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The dynamics of institutional trading: Evidence from transaction data

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  • Aymo, Mahmoud

Abstract

I examine the cross-sectional relationship between institutional trading activity and daily and intradaily stock returns for a sample of NYSE, Amex, and Nasdaq securities. An analysis of the prior day's return sort indicates that, institutional investors are 13.6 percent more likely to be net buyers of securities that are in the winner (top performing decile) decile than of those that are in the loser decile. There is a strong daily contemporaneous relation between institutional imbalances and returns, and institutional trades follow the previous day's returns. The intradaily analysis suggests that the contemporaneous relation is primarily driven by institutional trades following the intradaily prices. There is no evidence of institutional return predictability.

Suggested Citation

  • Aymo, Mahmoud, 2019. "The dynamics of institutional trading: Evidence from transaction data," The Journal of Economic Asymmetries, Elsevier, vol. 19(C), pages 1-1.
    • Handle: RePEc:eee:joecas:v:19:y:2019:i:c:5
    DOI: 10.1016/j.jeca.2018.e00112
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    Cited by:

    1. Alves, Paulo & Carvalho, Luís, 2020. "Recent evidence on international stock market’s overreaction," The Journal of Economic Asymmetries, Elsevier, vol. 22(C).

    More about this item

    Keywords

    Institutional investors; Feedback trading; Return predictability;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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