کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5091483 | 1375684 | 2006 | 16 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Volatility effects of institutional trading in foreign stocks
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
This paper examines the impact of institutional trades on volatility in international stocks across 43 countries. There is a temporary volatility spike during the trade execution period, merely reflecting the price impact costs faced by the institutions. Cross sectional regressions suggest that trade imbalances, enforcement of insider trading laws, stock prices, and an emerging market classification are positively associated with temporary volatility increases whereas the presence of market makers and better shareholders' rights dampen such increases. In the long term, institutional trades do not destabilize markets as the levels of volatility after their trades are almost identical to their pre-decision levels.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 30, Issue 8, August 2006, Pages 2199-2214
Journal: Journal of Banking & Finance - Volume 30, Issue 8, August 2006, Pages 2199-2214
نویسندگان
Chiraphol N. Chiyachantana, Pankaj K. Jain, Christine Jiang, Robert A. Wood,