International evidence on institutional trading behavior and price impact

Deskripsi

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 purcahses have a bigger price impact than sells; however, in the bearish markets, sells have a higher price impact. .Printed Journal