Institutional ownership and stock return volatility during the COVID-19 crisis: An international evidence

Thi Thuy Anh Vo and Mieszko Mazur

Finance Research Letters, 2023, vol. 58, issue PD

Abstract: Using a sample of 39 countries from 2010 through 2021, we find that while institutional holdings have the stabilizing effect during the normal (non-crisis) period, they appear to move stock prices away from fundamentals during the COVID-19 crisis. Furthermore, the impact of foreign and domestic institutions is not homogenous. We also find that institutional investors help reduce stock return volatility in countries more strongly affected by the COVID-19 crisis. Finally, our results indicate that investor protection moderates the impact of institutional holdings on stock return volatility in both pre- and crisis periods.

Keywords: COVID-19; Stock return volatility; Institutional investors; Firm risk (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:58:y:2023:i:pd:s1544612323010413

DOI: 10.1016/j.frl.2023.104669

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