Stock returns, order imbalances and commodities: Evidence on individual, institutional and proprietal investors in China
Author(s)
Author(s)
Bailey, W.
Cai, J.
Wang, F.
Date Issued
2009
Publisher
Elsevier
Journal
Journal of Banking & Finance
Volume
33
Issue
1
Start page
9
End page
19
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.
SFU Affiliated Publication
No
Availability at SFU Library
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