Financial derivatives introduction and stock return volatility in an emerging market without clearinghouse: The Mexican experience

1999 ◽  
Vol 6 (2) ◽  
pp. 153-176 ◽  
Author(s):  
Fausto Hernández-Trillo
Keyword(s):  
Stock Return ◽  
Emerging Market ◽  
Financial Derivatives ◽  
Return Volatility ◽  
Stock Return Volatility

Do institutional investors stabilize stock returns? Evidence from emerging IPO markets

2020 ◽  
Vol 32 (4) ◽  
pp. 585-600
Author(s):  
Konpanas Dumrongwong
Keyword(s):  
Initial Public Offerings ◽  
Institutional Investors ◽  
Stock Return ◽  
Emerging Market ◽  
Institutional Ownership ◽  
Growth Potential ◽  
Return Volatility ◽  
Content Type ◽  
Stock Return Volatility ◽  
The Relationship

Purpose The purpose of this paper is to investigate how institutional ownership is related to the stock return volatility of initial public offerings (IPOs) in an emerging market and to examine the relationship between institutional ownership and underpricing. Design/methodology/approach This paper investigates these relationships using White’s (1980) regression and 2 × 3 portfolios sorted by firm size and institutional holdings. The regression method examines the relationships across firms with different characteristics such as size, stock price, growth potential, firm age and type of investors. The data were chosen for this sample to cover the new equity issuances listed on the Thailand Stock Exchange for the period 2001–2019. Findings The empirical results suggest that institutional ownership is negatively associated with initial stock return volatility. This highlights the importance of institutional investors in maintaining stability in emerging stock markets. Additionally, it was found that institutional holding and underpricing are negatively correlated. The results are robust after controlling for potential heteroskedasticity and differences in firm characteristics. Originality/value To the best knowledge of the author, this paper is the first to study the relationship between institutional investors and volatility in Thai IPOs, and hence provides a deeper understanding of how investors influence the price formation and volatility of stock prices in emerging markets. Furthermore, besides academics, the results presented in this paper could be useful for market regulators and policymakers in designing future market regulations to efficiently stabilize equity markets.

scholarly journals Foreign Equity Trading and Average Stock-Return Volatility

2012 ◽  
Author(s):  
Mehmet Umutlu ◽  
Levent Akdeniz ◽  
Aslihan Altay Salih
Keyword(s):  
Stock Return ◽  
Return Volatility ◽  
Stock Return Volatility ◽  
Equity Trading
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