Stock returns, order imbalances, and commonality: Evidence on individual, institutional, and proprietary investors in China

Warren Bailey, Jun Cai, Yan Leung Cheung and Fenghua Wang

Journal of Banking & Finance, 2009, vol. 33, issue 1, 9-19

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.

Keywords: Order; imbalance; Commonality; Individual; Institutional; Proprietary; investors (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (42)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:33:y:2009:i:1:p:9-19

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