학회소식
[2005년 제 1차] The effect of institutional ownership on stock retu
작성자 : 관리자
조회수 : 1026
게시일 :
2005-03-04
This study investigates the effect of institutional ownership on aggregate stock return volatility from an international point of view. We employ cross-sectional and pooled regressions using 27 OECD countries` data. All the regression results show that there exists a statistically significant negative relation between volatility and institutional ownership, which is consistent with market microstructure-theoretical framework and inconsistent with Sias (1996). And volatility is largely explained by yearly return, short-term interest rate, and term premium of interest rate as well as institutional ownership. Even though the degree of insider trading, i.e., a market quality variable, is also related to volatility, its effect is captured by other quantitative variables. The empirical findings suggest a policy proposal that each country should try to increase institutional stock ownership to stabilize its own stock markets
