Foreign investors and stocks' volatility: evidence from COVID-19

Batra, Shallu; Yadav, Mahender; Saini, Mohit

doi:10.1108/ijse-03-2023-0179

Cited by 4 publications

(5 citation statements)

References 60 publications

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“…India was the third to disclose 1.1 million new cases of COVID-19 crisis (Naik et al , 2022). Additionally, uncertainty and risk because of the epidemic devastated the global financial market, covering India’s stock market (Batra et al , 2023b). Market response theory suggests investors behave pessimistically in responding to daily COVID-19 growth patient and death cases.…”

Section: Resultsmentioning

confidence: 99%

“…4.2.2 COVID-19, volatility and institutional ownership. The COVID-19 epidemic has received much consideration from academia (Batra et al, 2023b) as it negatively affects almost all the country's economies and caused countless deaths. India was the third to disclose 1.1 million new cases of COVID-19 crisis (Naik et al, 2022).…”

Section: Stabilizing or Destabilizingmentioning

confidence: 99%

“…These opposing viewpoints have called into question the level of institutional owners' engagement that is prevalent in the firms. Despite that, Batra et al (2022Batra et al ( , 2023aBatra et al ( , 2023b comprehensively analyzed the different types of ownership, including institutional ownership. Furthermore, numerous academics raise concerns about institutional investors' investment strategies, which lead to stock prices deviating from their basic values.…”

Section: Introductionmentioning

confidence: 99%

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Stabilizing or destabilizing: the effect of institutional investors on stock return volatility in an emerging market

Batra,

Yadav,

Jindal

et al. 2023

MBR

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Purpose This study aims to examine the impact of institutional investors and their classes on the stock return volatility of an emerging market. The paper also determines the moderating role of firm size, crisis and turnover on such relationships. Design/methodology/approach The study covers nonfinancial companies of the Bombay Stock Exchange-100 index that are listed during the study period. The study uses fixed effects and systematic generalized method of moments estimators to look over the association between institutional investors and firms’ stock return volatility. Findings The study provides evidence that institutional investors destabilize the Indian stock market. It indicates that institutional investors do not engage in management activities; they earn short-term gains depending on information efficiency. Pressure-insensitive institutional investors have a significant positive relation with stock return volatility, while pressure-sensitive institutional investors do not. The study also reflects that pressure-sensitive institutional investors are underweighted in India, which jointly represents an insignificant nonlinear association between institutional ownership and stocks’ volatility. Furthermore, outcomes reveal that the intersection effect of the crisis, firm size and turnover is positively and significantly related to such relationships. Research limitations/implications The outcomes encourage initiatives that keep track of institutional investors in the Indian stock market. To control the destabilizing effect of pressure-insensitive institutional investors, regulators should follow strict regulations on their trading patterns. Moreover, it guides the potential researchers that they should also take into account the impact of other classes of ownership structure or what type of ownership can help in stabilizing or destabilizing the Indian stock market. Originality/value Abundant literature studies the relationship between institutional ownership and firm performance in the Indian context. From the standpoint of making management decisions, the return and volatility of stock returns are both different aspects. However, this study examines the effect of institutional ownership and its groups on the volatility of stock return using the panel data estimator, which was previously not discussed in the literature.

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Section: Resultsmentioning

confidence: 99%

Section: Stabilizing or Destabilizingmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Stabilizing or destabilizing: the effect of institutional investors on stock return volatility in an emerging market

Batra,

Yadav,

Jindal

et al. 2023

MBR

Self Cite

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“…Local citations are ones that were obtained from other articles in a given data set (e.g. 54 articles in this study) (Goel et al , 2021; Batra et al , 2023a, 2023b). Global citations originate from articles both inside and outside the sample of this study.…”

Section: Bibliometric Results and Discussionmentioning

confidence: 99%

“…The most popular method of measuring volatility in financial markets is standard deviation, capturing the deviation of actual returns from expected mean returns (Schwert, 1990). Recent Studies by Batra et al (2023b, 2023c) used this measurement to check the variability of the returns. The volatility can also be forecasted by calculating the deviation from zero, especially in smaller samples, where average mean values may be a biased estimator (Figlewski, 1997).…”

Section: Introductionmentioning

confidence: 99%

Stock market volatility: a systematic review

Dhingra,

Batra,

Aggarwal

et al. 2023

JM2

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Purpose The increasing globalization and technological advancements have increased the information spillover on stock markets from various variables. However, there is a dearth of a comprehensive review of how stock market volatility is influenced by macro and firm-level factors. Therefore, this study aims to fill this gap by systematically reviewing the major factors impacting stock market volatility. Design/methodology/approach This study uses a combination of bibliometric and systematic literature review techniques. A data set of 54 articles published in quality journals from the Australian Business Deans Council (ABDC) list is gathered from the Scopus database. This data set is used to determine the leading contributors and contributions. The content analysis of these articles sheds light on the factors influencing market volatility and the potential research directions in this subject area. Findings The findings show that researchers in this sector are becoming more interested in studying the association of stock markets with “cryptocurrencies” and “bitcoin” during “COVID-19.” The outcomes of this study indicate that most studies found oil prices, policy uncertainty and investor sentiments have a significant impact on market volatility. However, there were mixed results on the impact of institutional flows and algorithmic trading on stock volatility, and a consensus cannot be established. This study also identifies the gaps and paves the way for future research in this subject area. Originality/value This paper fills the gap in the existing literature by comprehensively reviewing the articles on major factors impacting stock market volatility highlighting the theoretical relationship and empirical results.

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