International Evidence An Institutional Trading Behaviour And Price impact  

Oleh:

Jain, Pankaj K. ; Jiang, Christine ; Chiyachantana, Chiraphol N. ; Wood, Robert A.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 59 no. 2 (Apr. 2004), page 869-898.
Topik: PRICE; institutional investments; effects; stock prices; studies; economic conditions
Fulltext: p 869.pdf (181.85KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This study characteristizes 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 bulish 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. Out study further sugegsts that price impact varies depending on order characteristics, firm - specific factors, and cross - coutnry differences.

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