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

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

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  • Warren Bailey
  • Jun Cai
  • Yan Leung Cheung
  • Fenghua Wang

Related Research Unit(s)


Original languageEnglish
Pages (from-to)9-19
Journal / PublicationJournal of Banking and Finance
Issue number1
Publication statusPublished - Jan 2009


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. © 2007 Elsevier B.V. All rights reserved.

Research Area(s)

  • Commonality, Individual, Institutional, Order imbalance, Proprietary investors