We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
INSTITUTIONAL INVESTORS AND STOCK MARKET VOLATILITY.
- Authors
Gabaix, Xavier; Gopikrishnan, Parameswaran; Plerou, Vasiliki; Stanley, H. Eugene
- Abstract
We present a theory of excess stock market volatility, in which market movements are due to trades by very large institutional investors in relatively illiquid markets. Such trades generate significant spikes in returns and volume, even in the absence of important news about fundamentals. We derive the optimal trading behavior of these investors, which allows us to provide a unified explanation for apparently disconnected empirical regularities in returns, trading volume and investor size.
- Subjects
INSTITUTIONAL investors; MARKET volatility; SECURITIES trading volume; FINANCIAL markets; RATE of return; STOCKHOLDERS; RISK; SECURITIES trading; INVESTORS
- Publication
Quarterly Journal of Economics, 2006, Vol 121, Issue 2, p461
- ISSN
0033-5533
- Publication type
Article
- DOI
10.1162/qjec.2006.121.2.461