TY - JOUR
T1 - Stock returns, order imbalances, and commonality
T2 - Evidence on individual, institutional, and proprietary investors in China
AU - Bailey, Warren
AU - Cai, Jun
AU - Cheung, Stephen Y L
AU - Wang, Fenghua
N1 - Funding Information:
We are grateful to the Shanghai Stock Exchange (SSE) for providing the data used in this study. We also thank Giorgio Szego (the editor), two anonymous referees, Tarun Chordia, and participants at the 2006 JBF 30th Anniversary Conference in Beijing for useful conversations. This paper was written while Jun Cai was visiting the SSE as a financial economist. In particular, we appreciate help from Congjiu Zhu, Xinghai Fang, Xiaodong Liu, Ruyin Hu, Xiaoping Zhao, Liuyi Pi, Lie Luo, Qi Chen, and other colleagues at the SSE. Financial support from City University of Hong Kong (Cai) is gratefully acknowledged. Caroline Biebuyck provided editorial assistance.
PY - 2009/1
Y1 - 2009/1
N2 - 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.
AB - 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.
KW - Commonality
KW - Individual
KW - Institutional
KW - Order imbalance
KW - Proprietary investors
UR - http://www.scopus.com/inward/record.url?scp=56249148217&partnerID=8YFLogxK
U2 - 10.1016/j.jbankfin.2006.08.007
DO - 10.1016/j.jbankfin.2006.08.007
M3 - Journal article
AN - SCOPUS:56249148217
SN - 0378-4266
VL - 33
SP - 9
EP - 19
JO - Journal of Banking and Finance
JF - Journal of Banking and Finance
IS - 1
ER -