Institutional granular impact is benign on asset sales and price efficiency

Yinghua Fan, Guanhao Feng, Xiao Qiao and Sayad Baronyan

Journal of Financial Markets, 2025, vol. 75, issue C

Abstract: We construct two types of trading shocks and examine their effects on stock prices. Common shocks capture the shared trading activity across funds, whereas granular idiosyncratic shocks place emphasis on large players. Common shocks related to stock sales exhibit a significantly stronger price impact than those related to purchases, in contrast to symmetric effects of purchases and sales for granular idiosyncratic shocks. The initial price impact persists in the short run and partially reverses after six months, suggesting underreaction to institutional trading. Our results underscore the impact of the common component across various funds on asset prices and market efficiency.

Keywords: Common shocks; Fire sales; Granularity; Herding; Institutional investors; Price impact (search for similar items in EconPapers)
JEL-codes: G11 G12 G23 (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1386418125000278
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:75:y:2025:i:c:s1386418125000278

DOI: 10.1016/j.finmar.2025.100987

Access Statistics for this article

Journal of Financial Markets is currently edited by B. Lehmann, D. Seppi and A. Subrahmanyam

More articles in Journal of Financial Markets from Elsevier
Bibliographic data for series maintained by Catherine Liu ().