Institutional investors and stock market volatility

被引：282

作者：

Gabaix, Xavier

Gopikrishnan, Parameswaran

Plerou, Vasiliki

Stanley, H. Eugene

机构：

[1] MIT, Dept Econ, Cambridge, MA 02139 USA

[2] Natl Bur Econ Res, Cambridge, MA 02138 USA

[3] Boston Univ, Dept Phys, Ctr Polymer Studies, Boston, MA 02215 USA

来源：

QUARTERLY JOURNAL OF ECONOMICS | 2006年 / 121卷 / 02期

基金：

美国国家科学基金会;

关键词：

D O I：

10.1162/qjec.2006.121.2.461

中图分类号：

F [经济];

学科分类号：

02 ;

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.

引用

页码：461 / 504

页数：44

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