Journal of Finance Vol. 58 No. 6 2003

The Dynamics of Institutional and Individual Trading

John M. Griffin^{1,2,3,4,5,6,7,8}; Jeffrey H. Harris^{1,2,3,4,5,6,7,8}; Selim Topaloglu^{1,2,3,4,5,6,7,9,8}

¹ Baylor University · ² University of Michigan–Ann Arbor · ³ Nasdaq (United States) · ⁴ The Ohio State University · ⁵ Arizona State University · ⁶ Rice University · ⁷ University of Delaware · ⁸ Texas A&M University · ⁹ The University of Texas at Austin

Abstract

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.

DOI

10.1046/j.1540-6261.2003.00606.x

Volume

58

Issue

6

Pages

2285-2320

Language

en

Sources

openalex crossref bibtex:phds-export.bib

Cite

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