Volatility Effects of Institutional Trading in Foreign Stocks
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 trad...
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sg-smu-ink.lkcsb_research-20872010-09-23T06:24:04Z Volatility Effects of Institutional Trading in Foreign Stocks CHIYACHANTANA, Chiraphol New Jain, Pankaj K. Jiang, Christine X. Wood, Robert A. 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. 2006-01-01T08:00:00Z text https://ink.library.smu.edu.sg/lkcsb_research/1088 info:doi/10.1016/j.jbankfin.2005.06.001 https://doi.org/10.1016/j.jbankfin.2005.06.001 Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University Finance and Financial Management Portfolio and Security Analysis |
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Finance and Financial Management Portfolio and Security Analysis CHIYACHANTANA, Chiraphol New Jain, Pankaj K. Jiang, Christine X. Wood, Robert A. Volatility Effects of Institutional Trading in Foreign Stocks |
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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. |
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CHIYACHANTANA, Chiraphol New Jain, Pankaj K. Jiang, Christine X. Wood, Robert A. |
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CHIYACHANTANA, Chiraphol New Jain, Pankaj K. Jiang, Christine X. Wood, Robert A. |
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CHIYACHANTANA, Chiraphol New |
title |
Volatility Effects of Institutional Trading in Foreign Stocks |
title_short |
Volatility Effects of Institutional Trading in Foreign Stocks |
title_full |
Volatility Effects of Institutional Trading in Foreign Stocks |
title_fullStr |
Volatility Effects of Institutional Trading in Foreign Stocks |
title_full_unstemmed |
Volatility Effects of Institutional Trading in Foreign Stocks |
title_sort |
volatility effects of institutional trading in foreign stocks |
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Institutional Knowledge at Singapore Management University |
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2006 |
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https://ink.library.smu.edu.sg/lkcsb_research/1088 https://doi.org/10.1016/j.jbankfin.2005.06.001 |
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1770569793295876096 |