Cheung, Stephen Yan LeungStephen Yan LeungCheungBailey, W.Cai, J.Wang, F.2025-11-042025-11-042009https://repository.sfu.edu.hk/handle/sfu/5072Using 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.enjournal article10.1016/j.jbankfin.2006.08.007