دانلود رایگان مقاله انگلیسی انواع سرمایه گذاران و نوسانات بازگشت سهام - الزویر 2018

Abstract

The purpose of this paper is twofold: investigates how different types of investors affect stock return volatility, and provides some explanations based on investors’ trading behavior. Norway provides an excellent setting with monthly holding data of all investors on all listed firms over a period of 15 years. The results show that foreign investors increase stock return volatility because they trade the most, are momentum traders, and have the shortest investment horizon. In contrast, individual investors reduce stock return volatility because they trade the least, are contrarian traders, and have the longest investment horizon, and domestic institutional investors fall in-between.

5 Conclusion

Given the importance of return volatility in finance, understanding which type of investors increases stock return volatility would advance our knowledge of the determinants of volatility. While the extant literature on investors’ holdings and stock return volatility focuses on institutional investors or individual investors due to data limitation, this paper is the first to examine how three types of investors in the same setting affect stock return volatility. Taking advantage of a unique and detailed dataset of monthly holding data of all investors on all stocks listed on the Oslo stock exchange over a long period of 15 years, this paper investigates how foreign investors, domestic financial investors, and individual investors affect stock return volatility at the firm level, and provides some explanations based on investors’ trade behavior.

The results show that foreign investors increase stock return volatility, individual investors dampen stock return volatility, and financial institutional investors have a weaker negative impact on return volatility than individual investors. The findings remain robust to various tests using different measures of both total volatility and idiosyncratic volatility, size portfolios and price portfolios, pre- and post-lift of constraints on foreign holding and short sales, changes in holdings, among others. It is interesting that although both foreign (institutional) investors and domestic institutional investors are institutional investors, they have different impacts on stock return volatility. While the former increase return volatility, the letter do the opposite. This indicates that institutional investors, e.g., from different geographical regions, could have different behavior and impacts on stock return volatility. Reverse causality and a difference-in-difference analysis based on an exogenous shock are conducted to address the concerns of endogeneity. The results indicate that endogeneity is not a threat to the findings.