Institutional Investors and Stock Market Volatility
Abstract
This paper uses the 111 hybrid funds in 10 years which are across the two bull markets data to calculate institutional investors’ active position. Using Granger causality test, VAR dynamic impact model and GARCH model, we find that the behavior of institutional investors directly affect the stock market returns and exacerbate market volatility. Therefore, institutional investors are not market stabilizers.
Keywords
Institutional investors, Active position adjustment, Volatility
DOI
10.12783/dtssehs/aetms2017/15870
10.12783/dtssehs/aetms2017/15870