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- Title
THE ASSOCIATION OF STOCK MARKET VOLATILITY AND PARALLEL TRADING BY UK INSTITUTIONAL INVESTORS.
- Authors
Lee, S. L.; Ward, C. W. R.
- Abstract
The article presents a study which examines the relationship between institutional trading activity and volatility of share prices, as reflected by the Financial Times--Actuaries All Share Index over the period 1966-1978 in Great Britain. Three measures of volatility were employed in a test of the association between institutional trading and stock market variability. Only in the case of Insurance Cos. and Unit Trusts were consistent and significant results found for all three measures. The sales and turnover of Insurance Cos. were shown to be positively correlated with market volatility. However, the most important variable to be considered is the net trading by institutions and only in the case of Unit Trusts was a significant and positive relationship found between the variance of returns and net trading.
- Subjects
UNITED Kingdom; STOCK exchanges; STOCK prices; FINANCIAL markets; INSTITUTIONAL investors; STOCKHOLDERS; INVESTMENTS; INSTITUTIONAL investments
- Publication
Journal of Business Finance & Accounting, 1980, Vol 7, Issue 3, p415
- ISSN
0306-686X
- Publication type
Article
- DOI
10.1111/j.1468-5957.1980.tb00210.x