Do Institutional Investors Aggravate or Attenuate Stock Return Volatility? Evidence from Thailand

• 발행기관: 한국유통과학회
• 저자명: Yordying THANATAWEE
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 9 No.3, 195~202쪽, 전체 8쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2022.03.30

영문 초록

This study investigates whether institutional investors increase or decrease the volatility of stock returns in the Thai stock market. For the purpose we used the data from SETSMART, a database provided by the Stock Exchange of Thailand (SET). Our sample is a balanced panel data covering 3,160 firm-year observations from 316 nonfinancial firms listed on the SET from 2011 to 2020. We analyze the link between institutional holdings and the volatility of stock returns by the pooled Ordinary Least Squares (OLS) model, the fixed effects model, and the random-effects model. In particular, we regress the stock return volatility on institutional ownership while controlling for firm size, financial leverage, growth opportunities, and stock turnover and accounting for industry effects and year effects. Our results indicate institutional investors’ positive and significant influence on the volatility of the stock returns. Additionally, we performed the dynamic Generalized Method of Moment (GMM) estimator to alleviate concerns of possible endogeneity. The result still shows a positive impact of institutional investors on the volatility in stock returns. Overall, the findings of this study suggest that an increase in the volatility of stock returns in the Thai stock market may stem from a higher proportion of equity held by the institutional investors.

목차

1. Introduction

2. Literature Review

3. Research Methodology

4. Empirical Results

5. Conclusion

References

키워드

Volatility Stock Return Institutional Investor Institutional Ownership Thailand