International Evidence on Institutional Trading Behavior and Price Impact

By C. Chiyachantana, P. Jain, Christine X. Jiang, R. Wood. 2004

290 citations recorded by the source corpus.

How researchers see this paper

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Do Domestic Investors Have an Edge? The Trading Experience of Foreign Investors in Korea (2005, unknown): “This could also help explain the finding of Chiyachantana et al. (2004) that institutional investors have a higher buy price impact than sell price impact in bullish markets across the world, but the opposite is true in bearish markets.”
International Diversification with Large- and Small-Cap Stocks (2008, unknown): “In view of the finding reported by Chiyachantana et al. (2004), the difference in trading costs between small and large international stocks is not likely to exceed 2% per annum unless the turnover exceeds 150%.”
Performance of Institutional Trading Desks: An Analysis of Persistence in Trading Costs (2012, unknown): “Similarly,Chiyachantana et al. (2004) report average fill rates for their sample of institutional orders exceeding 95% for all sample years.”
The Flash Crash: The Impact of High Frequency Trading on an Electronic Market (2011, background): “2See, among others, Holthausen et al (1987, 1990), Chan and Lakonishok (1993, 1995), Chiyachantana et al (2004), Keim and Madhavan (1996, 1997), and Berkman (1996).”
Multimarket Trading and Liquidity: Theory and Evidence (2007, background): “10 See, among others, Table V of Chiyachantana et al. (2004).”