Who Blinks in Volatile Markets, Individuals or Institutions?

By Patrick J. Dennis, D. Strickland. 2002

313 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/943f90c46c92146df093ebe938d282b9715015c4

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Citations in the corpus

Institutional Ownership, Volatility and Dividends (2009, unknown): “However, as shown in Dennis and Strickland (2002), there are exogenous shocks which are correlated, such as large stock market movements.”
The Price Impact of Institutional Herding (2011, background): “…market movements, stocks mostly owned by institutions are characterized by higher turnover and are followed by larger future reversals in returns (Dennis and Strickland (2002)).16 Focusing on the time-series predictability of trading volume, Baker and Stein (2004) nd a negative association…”
Purchasing IPOs with Commissions (2011, unknown): “We include 4 lags of the COMMISSIONS variable to control for daily autocorrelation in the level of underwriter commissions (see NRZ (2007)) and the absolute value of the CRSP equalweighted return (|MKTRETt|), since institutional volume is higher during large market movements (Dennis and Strickland (”
Analysis of intraday herding behavior among the sector ETFs (2004, unknown): “Nofsinger and Sias (1999) and Dennis and Strickland (2002) find additional evidence of herding among mutual fund managers herd.”
Does herding affect volatility? Implications for the Spanish stock market (2012, background): “…if BBVA is not included), whereas those included in the small cap index exhibit an average percentage of institutional ownership of 15.09%.y According to Dennis and Strickland (2002), institutional shareholders react strongly to large market price changes by herding together and moving prices.”
Information Diversity and Complementarities in Trading and Information Acquisition: Complementarities in Trading and Information Acquisition (2015, unknown): “Moreover, to get a more direct measure of the populations of informed traders, one may look at analyst coverage or institutional holdings in different countries, since the literature has suggested that analysts and institutions are indeed in- 22 formed (e.g., Dennis and Strickland (2002)).”
Volume Autocorrelation, Information and Investor Trading (2004, unknown): “Also, a recent study by Dennis and Strickland (2002) shows that these trading strategies are more pronounced when there are large market price swings.”
Liquidity and Financial Market Runs (2002, unknown): “Dennis and Strickland (2002) find that institutions are more likely than retail investors We also assume that the market-making sector is competitive and is characterized by a “representative” market-maker with date 0 wealth W0 and date 0 inventory of zero shares.”