The price impact asymmetry of institutional trading in the Chinese stock market
The price impact asymmetry of institutional trading in the Chinese stock market
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DOI：
10.1016/j.physa.2011.12.049
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发表时间：
2011-10
影响因子：
3.3
通讯作者：
F. Ren;Li-Xin Zhong
中科院分区：
文献类型：
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作者：
F. Ren;Li-Xin Zhong
研究了2003年中国股票市场上32只流通股的机构买卖对股票价格的非对称影响。我们分析了价格的影响，在起草和下跌趋势与连续的积极和消极的每日价格变化，并测试价格影响的不对称性对市场条件的依赖。对于大多数股票来说，机构销售对价格的影响大于机构购买，机构购买的影响仅存在于少数主要呈上涨趋势的股票中。我们进一步研究了机构投资者交易前后的平均收益率，发现机构投资者交易前后也存在非对称行为。提出了一个新的变量来研究订单簿结构，它可以部分解释机构交易的价格影响。对机构交易价格影响的线性回归进一步证实了我们的发现，即在2003年的熊市中，机构销售主要比机构购买对价格产生更大的影响。
The asymmetric price impact between the institutional purchases and sales of 32 liquid stocks in the Chinese stock market in 2003 is carefully studied. We analyze the price impact in both drawup and drawdown trends with consecutive positive and negative daily price changes, and test the dependence of the price impact asymmetry on the market condition. For most of the stocks, institutional sales have a larger price impact than institutional purchases, and a larger impact of institutional purchases exists only in a few stocks with primarily increasing tendencies. We further study the mean return of trades surrounding institutional transactions, and find that the asymmetric behavior also exists before and after institutional transactions. A new variable is proposed to investigate the order book structure, and it can partially explain the price impact of institutional transactions. A linear regression for the price impact of institutional transactions further confirms our finding that institutional sales primarily have a larger price impact than institutional purchases in the bearish year 2003.