Institutional Investors and Stock Returns Volatility: Empirical Evidence from a Natural Experiment

Bohl, Martin T.; Brzeszczyński, Janusz; Wilfling, Bernd

doi:10.2139/ssrn.668324

Cited by 18 publications

(27 citation statements)

References 4 publications

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“…In a related study, Bohl et al (2006) The study of Bohl, Brzeszczyński and Wilfling (2009) is focused on the investigation of the Polish stock market around the same period as in the case of Bohl and Brzeszczyński (2006) and but using the Markov switching models. The identified changes of structural nature around the date marking the entrance of large institutional investors, i.e.…”

Section: Institutional Traders' Behaviormentioning

confidence: 99%

Investor response to public news, sentiment and institutional trading in emerging markets: A review

Brzeszczyński

Gajdka

Kutan

2015

International Review of Economics & Finance

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This paper reviews the literature on investor reaction and sentiment with respect to public information arrival in emerging markets and discusses the implications of the findings for the validity of theoretical models emphasizing public information arrival as the main mover of asset prices. We cover three types of public information news: monetary policy announcements, the International Monetary Fund (IMF) related news and other public and political news. In addition, we review the literature on sentiment and institutional trading in emerging markets. We summarize general findings and suggest some directions for further research.

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Section: Institutional Traders' Behaviormentioning

confidence: 99%

Investor response to public news, sentiment and institutional trading in emerging markets: A review

Brzeszczyński

Gajdka

Kutan

2015

International Review of Economics & Finance

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“…calculated at 95% confidence level and 5% confidence limits of the total funds' in multi-sector funds) and there were 313 funds included in this study.3 The continuous return formula is used as it is well-known to provide more accurate measure of return compared to the discrete formula(Brailsford et al, 2004, p. 9). Other studies evaluating funds performance have used the same way of measuring returns(Sawicki and Ong, 2000;Benson and Faff, 2003;Bohl et al, 2005).Analysis of the sensitivity of Australian superannuation funds…”

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confidence: 99%

An analysis of the sensitivity of Australian superannuation funds to market movements: a Markov regime switching approach

Roca

Wong

2008

Applied Financial Economics

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This article investigates the sensitivity of Australian superannuation funds in relation to equity and bond markets. In particular, it examines the extent, speed and duration of response of the Australian superannuation funds's returns to movements in the US and Australian equity and bond markets when fund returns are in the up, normal and down regimes, through the application of Markov regime switching analysis. The results reveal that Australian superannuation funds's returns are most affected by movements in the US equity market, followed by the Australian equity market then by the US bond market. Funds's returns are not influenced at all by movements in the Australian bond market. They respond quickly and briefly to market movements irrespective of whether funds returns are in a down, normal or up state. Funds's returns move positively with the US equity market under all states or regimes of funds returns but most especially during the down regime. They are influenced by the Australian equity market only during the normal regime and by the US bond market only during the up regime. In line with those of previous studies, these results imply that Australian superannuation funds are not able to time their exposure to markets and that their performance is indicative of an efficient market.

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“…We assume that there is linear relation between these two variables: (5) where is the degree of investor attention input to the signal, is the parameters of information efficiency representing the efficiency of information processsing by investors. For a given value of , as the investor allocates more attention to the signal,she process more information.…”

Section: The Theoretical Frameworkmentioning

confidence: 99%

“…Bohl et al (2006) proposed that institutional investors' attention will destabilize the stock price. However, with the help of Markov-switching-GARCH model, they found that the behaviour of institutional investors stabilized prices of Polish pension fund instead of destabilizing it [5]. In terms of individual investors, Aouadi et al(2013)carried on research in the French stock market using the "Google insights for search" and found that trade volume was closely related to investor attention, which was also the determinant of the lack of liquidity and the volatility of stock market [6].…”

Section: Introductionmentioning

confidence: 99%

Research into the Interaction between Investor Attention and Stock Prices

Zhong¹,

Lu²

2014

Advances in Economics, Business and Management Research

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Abstract. We use the number of posts of sample stocks in CSI 300 Index dated from 2009 to 2013 in the Oriental Fortune Forum to measure investor attention in Chinese stock markets and analyze the interaction between this attention and stock prices. We find that (1) stocks are held by optimistic investors in Chinese stock markets which lack the mechanism of short sales; (2) a fall in share price results less attention to stock markets on account of the departure of such investors. On the contrary, optimistic investors who are overconfident continually join in the stock markets and pay more attention to the markets as the stock prices go up, leading to a further rise in the stock prices.

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Institutional Investors and Stock Returns Volatility: Empirical Evidence from a Natural Experiment

Cited by 18 publications

References 4 publications

Investor response to public news, sentiment and institutional trading in emerging markets: A review

Investor response to public news, sentiment and institutional trading in emerging markets: A review

An analysis of the sensitivity of Australian superannuation funds to market movements: a Markov regime switching approach

Research into the Interaction between Investor Attention and Stock Prices

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