Institutional Investors and Stock Market Volatility

Ya-ping WANG, Zhao-hui WANG

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

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