IDEAS home Printed from https://ideas.repec.org/h/spr/sprchp/978-4-431-28915-9_48.html
   My bibliography  Save this book chapter

Macro-players in stock markets

In: Practical Fruits of Econophysics

Author

Listed:
  • Bertrand M. Roehner

    (University Paris 7)

Abstract

It is usually assumed that stock prices reflect a balance between large numbers of small individual sellers and buyers. However, over the past fifty years mutual funds and other institutional shareholders have assumed an ever increasing part of stock transactions: their assets, as a percentage of GDP, have been multiplied by more than one hundred. The paper presents evidence which shows that reactions to major shocks are often dominated by a small number of institutional players. Most often the market gets a wrong perception and inadequate understanding of such events because the relevant information (e.g. the fact that one mutual fund has sold several million shares) only becomes available weeks or months after the event, through reports to the Securities and Exchange Commission (SEC). Our observations suggest that there is a radical difference between small ( 5%) price changes which, on the contrary, may be caused by massive sales (or purchases) by a few players. This suggests that the mechanisms which account for large returns are markedly different from those ruling small returns.

Suggested Citation

  • Bertrand M. Roehner, 2006. "Macro-players in stock markets," Springer Books, in: Hideki Takayasu (ed.), Practical Fruits of Econophysics, pages 262-271, Springer.
    • Handle: RePEc:spr:sprchp:978-4-431-28915-9_48
    DOI: 10.1007/4-431-28915-1_48
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Bertrand M. Roehner, 2010. "Fifteen years of econophysics: worries, hopes and prospects," Papers 1004.3229, arXiv.org.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sprchp:978-4-431-28915-9_48. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.