Institutional trading and stock resiliency: Evidence from the 2007-2009 financial crisis

• 成果类型: Article
• 署名作者: Anand, Amber; Irvine, Paul; Puckett, Andy; Venkataraman, Kumar
• 署名单位: Syracuse University; University System of Georgia; University of Georgia; University of Tennessee System; University of Tennessee Knoxville; Southern Methodist University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2013.01.007
• 发表日期: 2013
• 页码: 773-797
• 关键词: institutional investors; Financial crisis; liquidity; trading costs; Resiliency

摘要

We examine the impact of institutional trading on stock resiliency during the financial crisis of 2007-2009. We show that buy-side institutions have different exposure to liquidity factors based on their trading style. Liquidity supplying institutions absorb the long-term order imbalances in the market and are critical to recovery patterns after a liquidity shock. We show that these liquidity suppliers withdraw from risky securities during the crisis and their participation does not recover for an extended period of time. The illiquidity of specific stocks is significantly affected by institutional trading patterns; participation by liquidity supplying institutions can ameliorate illiquidity, while participation by liquidity demanding institutions can exacerbate illiquidity. Our results provide guidance on why some stocks take longer to recover in a crisis. (C) 2013 Elsevier B.V. All rights reserved.