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

Warren Bailey, Jun Cai*, Stephen Y L CHEUNG, Fenghua Wang

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

49 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)9-19
Number of pages11
JournalJournal of Banking and Finance
Volume33
Issue number1
DOIs
Publication statusPublished - Jan 2009

Scopus Subject Areas

  • Finance
  • Economics and Econometrics

User-Defined Keywords

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

Fingerprint

Dive into the research topics of 'Stock returns, order imbalances, and commonality: Evidence on individual, institutional, and proprietary investors in China'. Together they form a unique fingerprint.

Cite this