The Dynamics of Institutional and Individual Trading

The Dynamics of Institutional and Individual Trading

We study the daily and intradaily cross-sectional relation between stock returns and the trading of institutional and individual investors in Nasdaq 100 securities. Based on the previous day's stock return, the top performing decile of securities is 23.9% more likely to be bought in net by inst...

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Veröffentlicht in:The Journal of finance (New York) 2003-12, Vol.58 (6), p.2285-2320
Hauptverfasser: Griffin, John M., Harris, Jeffrey H., Topaloglu, Selim
Format: Artikel
Sprache:eng
Schlagworte:
Coefficients
Correlation analysis
Institutional investments
Investment policy
Investors
Musical intervals
Mutual funds
Nasdaq Composite Index
NASDAQ trading
Rates of return
Securities markets
Shares outstanding
Stock prices
Stock shares
Studies
Trade
Trade volume
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Beschreibung
Zusammenfassung:We study the daily and intradaily cross-sectional relation between stock returns and the trading of institutional and individual investors in Nasdaq 100 securities. Based on the previous day's stock return, the top performing decile of securities is 23.9% more likely to be bought in net by institutions (and sold by individuals) than those in the bottom performance decile. Strong contemporaneous daily patterns can largely be explained by net institutional (individual) trading positively (negatively) following past intradaily excess stock returns (or the news associated therein). In comparison, evidence of return predictability and price pressure are economically small.
ISSN:0022-1082
1540-6261
DOI:10.1046/j.1540-6261.2003.00606.x