International Evidence on Institutional Trading Behavior and Price Impact
利用37个国家1997-1998年和2001年的数据，发现市场行情决定机构买卖订单的价格冲击不对称性：牛市买入冲击更大，熊市卖出冲击更大。
ABSTRACT 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.