@article{20fa05c03a0d4a2b898de93baf483bd0,
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",
}