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Institutional ownership and stock return volatility during the COVID-19 crisis: An international evidence

Author

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  • Vo, Thi Thuy Anh
  • Mazur, Mieszko

Abstract

Using a sample of 39 countries from 2010 through 2021, we find that while institutional holdings have the stabilizing effect during the normal (non-crisis) period, they appear to move stock prices away from fundamentals during the COVID-19 crisis. Furthermore, the impact of foreign and domestic institutions is not homogenous. We also find that institutional investors help reduce stock return volatility in countries more strongly affected by the COVID-19 crisis. Finally, our results indicate that investor protection moderates the impact of institutional holdings on stock return volatility in both pre- and crisis periods.

Suggested Citation

  • Vo, Thi Thuy Anh & Mazur, Mieszko, 2023. "Institutional ownership and stock return volatility during the COVID-19 crisis: An international evidence," Finance Research Letters, Elsevier, vol. 58(PD).
    • Handle: RePEc:eee:finlet:v:58:y:2023:i:pd:s1544612323010413
    DOI: 10.1016/j.frl.2023.104669
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