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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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2006
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/1088 https://doi.org/10.1016/j.jbankfin.2005.06.001 |
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| Institution: | Singapore Management University |
| Language: | English |