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International Evidence on Institutional Trading Behavior and Price Impact


  • Chiraphol N. Chiyachantana,

  • Pankaj K. Jain,

  • Christine Jiang,

  • Robert A. Wood

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    • Chiyachantana is from the College of Business Administration, California State University at San Marcos; Jain, Jiang, and Wood are from the Fogelman College of Business and Economics, University of Memphis. We are grateful to Wayne Wagner and Vinod Pakianathan of the Plexus Group for providing us with the data and for related discussions. We thank Bob Jennings, Cynthia McDonald, Richard Green (the editor), and an anonymous referee for comments and suggestions. Any errors are our own.


This study characterizes institutional trading in international stocks from 37 countries during 1997 to 1998 and 2001. We find that the underlying market condition is a major determinant of the price impact and, more importantly, of the asymmetry between price impacts of institutional buy and sell orders. In bullish markets, institutional purchases have a bigger price impact than sells; however, in the bearish markets, sells have a higher price impact. This differs from previous findings on price impact asymmetry. Our study further suggests that price impact varies depending on order characteristics, firm-specific factors, and cross-country differences.