Institutional investors and stock market volatility

• 成果类型: Review
• 署名作者: Gabaix, Xavier; Gopikrishnan, Parameswaran; Plerou, Vasiliki; Stanley, H. Eugene
• 署名单位: Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Boston University
• 刊物名称: QUARTERLY JOURNAL OF ECONOMICS
• ISSN/ISSBN: 0033-5533
• DOI: 10.1162/qjec.2006.121.2.461
• 发表日期: 2006
• 页码: 461-504
• 关键词: PRICE FLUCTUATIONS; Order Flow; zipfs law; liquidity; RISK; INFORMATION; variance; premium; bubbles; trades

摘要

We present a theory of excess stock market volatility, in which market movements are due to trades by very large institutional investors in relatively illiquid markets. Such trades generate significant spikes in returns and volume, even in the absence of important news about fundamentals. We derive the optimal trading behavior of these investors, which allows us to provide a unified explanation for apparently disconnected empirical regularities in returns, trading volume and investor size.