Abstract
This paper examines price behavior surrounding institutional trades on S&P 500 Index Futures on the CME over the period January 1994 to June 2004. Using CTR data which unambiguously classifies trades as either buyer- or seller-initiated, we find that over the entire sample period, buyer-initiated trades have larger permanent price effects than seller-initiated trades, consistent with previous findings in equity markets. However, we find the permanent price effect for sales is greater than for purchases in bear markets, with the reverse found for bull markets. These results are consistent with the hypothesis that contemporaneous market conditions are the major determinant of asymmetric price effects between purchases and sales in both equity and futures markets.
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