Institutional investor attention and stock market volatility and liquidity: international evidence

Imane El Ouadghiri, Elias Erragragui (), Jamil Jaballah and Jonathan Peillex ()
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Imane El Ouadghiri: PULV - Pôle Universitaire Léonard de Vinci, EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique
Elias Erragragui: Kedge Business School [Talence], LEFMI - Laboratoire d’Économie, Finance, Management et Innovation - UR UPJV 4286 - UPJV - Université de Picardie Jules Verne
Jamil Jaballah: EESC-GEM Grenoble Ecole de Management
Jonathan Peillex: LEFMI - Laboratoire d’Économie, Finance, Management et Innovation - UR UPJV 4286 - UPJV - Université de Picardie Jules Verne

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Abstract: In this paper, we examine the influence of the daily institutional investor attention to particular stocks on stock volatility and liquidity. The institutional investor attention is measured from the number of times that users of Bloomberg terminal, who are mostly institutional investors, search for or read articles on a specific stock. Relying on a large international dataset of approximately a million daily observations over the period 2011–2020 from nine countries (Canada, France, Germany, Japan, Russia, South Korea, Switzerland, the UK, and the US), we find that this recent measure of institutional investor attention has a strong positive effect on stock volatility and liquidity. Confirmed by a battery of robustness tests, our findings suggest that this continuous barometer of attention by institutional investors can be used by financial practitioners to predict future stock volatility and liquidity.

Keywords: Investor attention; institutional investors; liquidity; volatility; Bloomberg (search for similar items in EconPapers)
Date: 2022-09-08
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Citations: View citations in EconPapers (2)

Published in Applied Economics, 2022, 54 (42), pp.4839-4854. ⟨10.1080/00036846.2022.2036689⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03821680

DOI: 10.1080/00036846.2022.2036689

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