International Evidence on Institutional Trading Behavior and Price Impact

  • Author(s): Chiraphol N. Chiyachantana, Pankaj K. Jain, Christine Jiang, Robert A. Wood
  • Published: Mar 25, 2004
  • Pages: 869-898
  • DOI: 10.1111/j.1540-6261.2004.00651.x


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 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. Our study further suggests that price impact varies depending on order characteristics, firm‐specific factors, and cross‐country differences.

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