Anatomy of the trading process empirical evidence on the behavior of institutional traders,☆☆

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Abstract

This paper examines the behavior of institutional traders. We use unique data on the equity transactions of 21 institutions of differing investment styles which provide a detailed account of the anatomy of the trading process. The data include information on the number of days needed to fill an order and types of order placement strategies employed. We analyze the motivations for trade, the determinants of trade duration, and the choice of order type. The analysis provides some support for the predictions made by theoretical models, but suggests that these models fail to capture important dimensions of trading behavior.

Keywords

Institutional investors
Microstructure
Trading strategies

JEL classification

G23

Cited by (0)

The Geewax-Terker Research Program at Wharton provided financial assistance, and Marshall Gordon, Pasi Hamalainen, and Mark Roomans provided valuable research assistance.

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The comments and opinions contained in this paper are those of the authors and do not necessarily reflect those of the directors, members, or officers of the New York Stock Exchange, Inc. Any errors are entirely our own.