Using all trading in Finland over a fifteen-year period, I study the relation between price changes and the trading of individuals and financial institutions. On average, prices increase when institutions buy from individuals, and decrease when institutions sell to individuals. No such consistent pattern is observed when individuals trade with other individuals, or when institutions trade with other institutions. If prices do move while individuals trade among themselves, they quickly revert. These reversals occur as institutions trade with individuals in a direction that pushes prices toward previous levels.
Stoffman, Noah, Who Trades with Whom? Individuals, Institutions, and Returns (May 13, 2014). Journal of Financial Markets, Forthcoming, Available at SSRN: https://ssrn.com/abstract=1029626 or http://dx.doi.org/10.2139/ssrn.1029626
