Stock returns, order imbalances, and commonality : Evidence on individual, institutional, and proprietary investors in China
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Author(s)
Related Research Unit(s)
Detail(s)
Original language | English |
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Pages (from-to) | 9-19 |
Journal / Publication | Journal of Banking and Finance |
Volume | 33 |
Issue number | 1 |
Publication status | Published - Jan 2009 |
Link(s)
Abstract
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
Citation Format(s)
Stock returns, order imbalances, and commonality: Evidence on individual, institutional, and proprietary investors in China. / Bailey, Warren; Cai, Jun; Cheung, Yan Leung et al.
In: Journal of Banking and Finance, Vol. 33, No. 1, 01.2009, p. 9-19.
In: Journal of Banking and Finance, Vol. 33, No. 1, 01.2009, p. 9-19.
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review