Research Article
The Influence of Institutional Investors on the Volatility and Return of Chinese Stock Market
@INPROCEEDINGS{10.4108/eai.18-11-2022.2326878, author={Qianyu Chen and Yuhao Miu and Yifan Yang and Qianyi Zhu}, title={The Influence of Institutional Investors on the Volatility and Return of Chinese Stock Market}, proceedings={Proceedings of the 4th International Conference on Economic Management and Model Engineering, ICEMME 2022, November 18-20, 2022, Nanjing, China}, publisher={EAI}, proceedings_a={ICEMME}, year={2023}, month={2}, keywords={institutional investor; volatility; return; sharpe ratio; holding period}, doi={10.4108/eai.18-11-2022.2326878} }- Qianyu Chen
Yuhao Miu
Yifan Yang
Qianyi Zhu
Year: 2023
The Influence of Institutional Investors on the Volatility and Return of Chinese Stock Market
ICEMME
EAI
DOI: 10.4108/eai.18-11-2022.2326878
Abstract
This study investigated the effect of institutions’ shareholding and holding period on the return and volatility of the shares in the Chinese stock market. 3267 stocks in the three boards of the Chinese stock market were chosen. Based on their data from the fourth quarter of 2018 to the third quarter of 2020, this paper researched the effect of the shareholding and holding period on the return and volatility mainly by the Fama-MacBeth regression method. Specifically, it scrolls to calculate the beta using time series data primarily and apply cross-section regression subsequently to perform statistical test. In addition to the population, we generated two-group subsamples depended on the shareholding and different boards, respectively, introduce lag variables to estimate their Inter-temporal impact. Besides, we also use Granger Causal Relation Test to avoid endogenous problem between institutions’ shareholding and volatility. Additionally, different kinds of investment portfolios are constructed to derive the rules of institutional behaviors. According to the analysis, increasing institutional shareholdings exacerbated the fluctuations in stock price. Moreover, the institutional shareholding ratio has a significant positive effect on the stock yield. Meanwhile, there is a significant negative correlation between the duration of the holding and the volatility of the stock.