Price impact asymmetry of institutional trading in Chinese stock market

摘要

The asymmetric price impact between the institutional purchases and sales of32 liquid stocks in Chinese stock markets in year 2003 is carefully studied. Weanalyze the price impact in both drawup and drawdown trends with consecutivepositive and negative daily price changes, and test the dependence of the priceimpact asymmetry on the market condition. For most of the stocks institutionalsales have a larger price impact than institutional purchases, and largerimpact of institutional purchases only exists in few stocks with primarilyincreasing tendencies. We further study the mean return of trades surroundinginstitutional transactions, and find the asymmetric behavior also exists beforeand after institutional transactions. A new variable is proposed to investigatethe order book structure, and it can partially explain the price impact ofinstitutional transactions. A linear regression for the price impact ofinstitutional transactions further confirms our finding that institutionalsales primarily have a larger price impact than institutional purchases in thebearish year 2003.