Institutional Investors' Shareholding Ratio and Stock Return Volatility: Empirical Findings from the a Share Market

DOI

10.2991/febm-18.2018.35How to use a DOI?

Keywords

Institutional investors; Stock return volatility; The split share structure reform; The two-stage least square method

Abstract

This paper uses the non-balanced panel data of A-share listed companies from 2001 to 2017 to conduct an empirical study on the relationship between the shareholding ratio of institutional investors and stock return volatility before and after the split share structure reform . It is found that after the reform , institutional investors stabilize stock return volatility in companies with a high proportion of institutional investors when other conditions are controlled . And companies with a low proportion of institutional investors, institutional investor’s shareholding ratio is negatively correlated with stock return volatility. Before the reform and during the reform, companies with a high proportion of institutional investors, institutional investor’s shareholding ratio is negatively related to the stock return volatility .Companies with a low proportion of institutional investors,the relationship is not obvious. In this paper, the two-stage least square method is used for further analysis. After eliminating the endogenous of the shareholding ratio of institutional investors and stock return volatility, the conclusion validates the conclusion of this paper.

Copyright

© 2018, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Qian Yu
AU  - Tao Li
PY  - 2018/12
DA  - 2018/12
TI  - Institutional Investors' Shareholding Ratio and Stock Return Volatility: Empirical Findings from the a Share Market
BT  - Proceedings of the Third International Conference on Economic and Business Management (FEBM 2018)
PB  - Atlantis Press
SP  - 148
EP  - 151
SN  - 2352-5428
UR  - https://doi.org/10.2991/febm-18.2018.35
DO  - 10.2991/febm-18.2018.35
ID  - Yu2018/12
ER  -