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

doi:10.1016/j.jbankfin.2006.08.007

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 journal › Journal article › peer-review

76 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 language	English
Pages (from-to)	9-19
Number of pages	11
Journal	Journal of Banking and Finance
Volume	33
Issue number	1
DOIs	https://doi.org/10.1016/j.jbankfin.2006.08.007
Publication status	Published - Jan 2009

User-Defined Keywords

Commonality
Individual
Institutional
Order imbalance
Proprietary investors

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10.1016/j.jbankfin.2006.08.007

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

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.",

keywords = "Commonality, Individual, Institutional, Order imbalance, Proprietary investors",

author = "Warren Bailey and Jun Cai and Cheung, \{Stephen Y L\} and Fenghua Wang",

note = "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.",

year = "2009",

month = jan,

doi = "10.1016/j.jbankfin.2006.08.007",

language = "English",

volume = "33",

pages = "9--19",

journal = "Journal of Banking and Finance",

issn = "0378-4266",

publisher = "Elsevier B.V.",

number = "1",

}

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 - https://www.scopus.com/pages/publications/56249148217

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 -

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

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