  The asymmetric price impact between the institutional purchases and sales of
32 liquid stocks in Chinese stock markets in year 2003 is carefully studied. We
analyze the price impact in both drawup and drawdown trends with consecutive
positive and negative daily price changes, and test the dependence of the price
impact asymmetry on the market condition. For most of the stocks institutional
sales have a larger price impact than institutional purchases, and larger
impact of institutional purchases only exists in few stocks with primarily
increasing tendencies. We further study the mean return of trades surrounding
institutional transactions, and find the asymmetric behavior also exists before
and after institutional transactions. A new variable is proposed to investigate
the order book structure, and it can partially explain the price impact of
institutional transactions. A linear regression for the price impact of
institutional transactions further confirms our finding that institutional
sales primarily have a larger price impact than institutional purchases in the
bearish year 2003.
