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The Dynamics of Institutional and Individual Trading
Author(s) -
Griffin John M.,
Harris Jeffrey H.,
Topaloglu Selim
Publication year - 2003
Publication title -
the journal of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 18.151
H-Index - 299
eISSN - 1540-6261
pISSN - 0022-1082
DOI - 10.1046/j.1540-6261.2003.00606.x
Subject(s) - decile , predictability , stock (firearms) , economics , financial economics , monetary economics , institutional investor , business , finance , geography , corporate governance , mathematics , statistics , archaeology
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.