The relationship between institutional ownership and idiosyncratic volatility: evidence from the stock markets of China and the USA

被引：2

作者：

Hu, Yu ^{[1
]}

Jiang, Xiaoquan ^{[2
]}

Xue, Wenjun ^{[3
]}

机构：

[1] Univ Texas El Paso, El Paso, TX USA

[2] Florida Int Univ, Miami, FL USA

[3] Shanghai Univ, Shanghai, Peoples R China

来源：

INTERNATIONAL JOURNAL OF EMERGING MARKETS | 2024年 / 19卷 / 09期

基金：

中国国家自然科学基金;

关键词：

Institutional ownership; Idiosyncratic volatility; Chinese stock market; U; S; stock market; G10; G15; G23; INCREASE RETURN VOLATILITY; FOREIGN OWNERSHIP; INVESTORS; VOLUME; INVESTMENT; BEHAVIOR; RISK; IMPACT; PRICE;

D O I：

10.1108/IJOEM-04-2022-0710

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

PurposeThis paper investigates the relationship between institutional ownership and idiosyncratic volatility in Chinese and the USA stock markets and explores the potential explanations.Design/methodology/approachIn this paper, the authors use the panel data regressions and the dynamic tests of two-way Granger causality in the panel VAR model to examine the relationship between institutional ownership and idiosyncratic volatility in Chinese and the USA stock markets.FindingsThe authors find that the institutional ownership in the Chinese (the USA) stock market is significantly and positively (negatively) related to idiosyncratic volatility through various tests. This paper indicates that institutional investors in the USA are more prudent and risk-averse, while the Chinese institutional investors are not because of high risk-bearing capacity.Originality/valueThis paper deepens the authors' understanding on the relationship between institutional ownership and idiosyncratic volatility and in the USA and the Chinese stock markets. This paper explains the opposite relationships between institutional ownership and idiosyncratic volatility in the stock markets in China and USA.

引用

页码：2549 / 2573

页数：25

共 64 条

[11] Greener pastures and the impact of dynamic institutional preferences [J].