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

Warren BAILEY, Jun CAI, Yan Leung Stephen CHEUNG, Fenghua WANG

Research output: Contribution to journalArticlespeer-review

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. Copyright © 2007 Elsevier B.V. All rights reserved.
Original languageEnglish
Pages (from-to)9-19
JournalJournal of Banking and Finance
Volume33
Issue number1
DOIs
Publication statusPublished - Jan 2009

Citation

Bailey, W., Cai, J., Cheung, Y. L., & Wang, F. (2009). Stock returns, order imbalances, and commonality: Evidence on individual, institutional, and proprietary investors in China. Journal of Banking and Finance, 33(1), 9-19. doi: 10.1016/j.jbankfin.2006.08.007

Keywords

  • Order imbalance
  • Commonality
  • Individual
  • Institutional
  • Proprietary investors

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