Economics at your fingertips  

Investor types and stock return volatility

Limei Che

Journal of Empirical Finance, 2018, vol. 47, issue C, 139-161

Abstract: The purpose of this paper is twofold: investigate how different types of investors affect stock return volatility, and provide some explanations based on investors’ trading behavior. Norway provides an excellent setting with monthly holding data of all investors on all listed firms over a period of 15 years. The results show that foreign investors increase stock return volatility because they trade the most, are momentum traders, and have the shortest investment horizon. In contrast, individual investors reduce stock return volatility because they trade the least, are contrarian traders, and have the longest investment horizon. Domestic institutional investors fall in-between these extremes.

Keywords: Stock return volatility; Investor types; Ownership holdings; Foreign investors; Individual investors; Financial institutional investors (search for similar items in EconPapers)
JEL-codes: G11 D12 D14 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

Journal of Empirical Finance is currently edited by R. T. Baillie, F. C. Palm, Th. J. Vermaelen and C. C. P. Wolff

More articles in Journal of Empirical Finance from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

Page updated 2018-08-04
Handle: RePEc:eee:empfin:v:47:y:2018:i:c:p:139-161