文献类型：期刊文献

英文题名：The price impact asymmetry of institutional trading in the Chinese stock market

作者：Ren, Fei[1,3,4];Zhong, Li-Xin[2]

机构：[1]E China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[2]Zhejiang Univ Finance & Econ, Sch Finance, Hangzhou 310018, Peoples R China;[3]E China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China;[4]E China Univ Sci & Technol, Engn Res Ctr Proc Syst Engn, Minist Educ, Shanghai 200237, Peoples R China

年份：2012

卷号：391

期号：8

起止页码：2667

外文期刊名：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

收录：;EI(收录号：20120714769767);WOS:【SSCI(收录号:WOS:000301209400016)，SCI-EXPANDED(收录号:WOS:000301209400016)】；

基金：The authors thank Wei-Xing Zhou for helpful comments and discussions. This work was partially supported by the National Natural Science Foundation (Nos. 71131007 and 10905023), the Zhejiang Provincial Natural Science Foundation of China (Nos. Z6090130 and Y6110687), the Humanities and Social Sciences Fund sponsored by the Ministry of Education of the People's Republic of China (Nos. 09YJCZH042 and 10YJAZH137), and the Fundamental Research Funds for the Central Universities.

语种：英文

外文关键词：Econophysics; Price impact; Institutional trading; Market microstructure

摘要：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. (C) 2011 Elsevier B.V. All rights reserved.