scholarly journals The Granular Nature of Large Institutional Investors

2021 ◽  
Author(s):  
Itzhak Ben-David ◽  
Francesco Franzoni ◽  
Rabih Moussawi ◽  
John Sedunov
Keyword(s):  
United States ◽  
Financial Markets ◽  
Empirical Evidence ◽  
Institutional Investors ◽  
Stock Prices ◽  
Equity Markets ◽  
The United States ◽  
Price Impact ◽  
Idiosyncratic Shocks

Large institutional investors own an increasing share of the equity markets in the United States. The implications of this development for financial markets are still unclear. The paper presents novel empirical evidence that ownership by large institutions predicts higher volatility and greater noise in stock prices as well as greater fragility in times of crisis. When studying the channel, we find that large institutional investors exhibit traits of granularity (i.e., subunits within a firm display correlated behavior), which reduces diversification of idiosyncratic shocks. Thus, large institutions trade larger volumes and induce greater price impact. This paper was accepted by David Simchi-Levi, finance.

Ocena antykryzysowej polityki gospodarczej Stanów Zjednoczonych i wybranych państw członkowskich Unii Europejskiej w latach 2005–2014

2016 ◽  
pp. 26-46
Author(s):  
Marcin Jan Flotyński
Keyword(s):  
United States ◽  
European Union ◽  
Financial Markets ◽  
Global Economy ◽  
Global Financial Crisis ◽  
The United States ◽  
The European Union ◽  
High Volatility ◽  
The Global Financial Crisis ◽  
Domestic Products

The global financial crisis in 2007–2009 began a period of high volatility on the financial markets. Specifically, it caused an increased amplitude of fluctuations of the level of gross domestic products, the level of investment and consumption and exchange rates in particular countries. To address the adverse market circumstances, governments and central banks took actions in order to bolster the weakening global economy. The aim of this article is to present the anti-crisis actions in the United States and selected member states of the European Union, including Poland, and an assessment of their efficiency. The analysis conducted indicates that generally the actions taken in the United States in response to the crisis were faster and more adequate to the existing circumstances than in the European Union.

The Nexus Between Johannesburg Stock Exchange and the United States Unemployment Rate Announcement: An Impulse Response Analysis

2018 ◽  
Vol 10 (3(J)) ◽  
pp. 160-168
Author(s):  
Misheck Mutize ◽  
Victor Virimai Mugobo
Keyword(s):  
United States ◽  
South African ◽  
Impulse Response ◽  
Unemployment Rate ◽  
Stock Prices ◽  
Stock Exchange ◽  
The United States ◽  
Response Analysis ◽  
Johannesburg Stock Exchange ◽  
The Us

The study explores the relationship between the unemployment rate in the United States and South Africa’s stock prices from the beginning of 2013 to the last day 2017. The objective of this paper is to examine the impact of the US unemployment rate announcement on the South African financial market. Results of Impulse Response analysis show that there is a very minimal impact from the US unemployment announcement to South Africa’s stock prices which disappears within two days of the announcement. In addition, the Johannesburg stock exchange index marginally responds to own shocks, which marginally fades away within two days. These findings imply that the changes in the US employment policies have a direct ripple effect on the South African macroeconomic environment, its investing public sentiments and corporate confidence on the future prospects of businesses.

Money and stock prices in the United States

1993 ◽  
Vol 3 (1) ◽  
pp. 51-54 ◽  
Author(s):  
Apostolos Serletis
Keyword(s):  
United States ◽  
Stock Prices ◽  
The United States

scholarly journals Unknown Unknowns: Uncertainty About Risk and Stock Returns

2018 ◽  
Vol 53 (4) ◽  
pp. 1615-1651 ◽  
Author(s):  
Guido Baltussen ◽  
Sjoerd van Bekkum ◽  
Bart van der Grient
Keyword(s):  
United States ◽  
Stock Returns ◽  
Stock Prices ◽  
Stock Markets ◽  
The United States ◽  
Pricing Mechanism ◽  
European Stock Markets ◽  
Low Uncertainty ◽  
High Uncertainty

Stocks with high uncertainty about risk, as measured by the volatility of expected volatility (vol-of-vol), robustly underperform stocks with low uncertainty about risk by 8% per year. This vol-of-vol effect is distinct from (combinations of) at least 20 previously documented return predictors, survives many robustness checks, and holds in the United States and across European stock markets. We empirically explore the pricing mechanism behind the vol-of-vol effect. The evidence points toward preference-based explanations and away from alternative explanations. Collectively, our results show that uncertainty about risk is highly relevant for stock prices.

scholarly journals Interdependence of stock exchange indices from leading capital markets: USA, Germany and Japan Stock Market

Bizinfo Blace ◽  
2021 ◽  
Vol 12 (1) ◽  
pp. 15-28
Author(s):  
Milena Marjanović ◽  
Ivan Mihailović ◽  
Ognjen Dimitrijević
Keyword(s):  
United States ◽  
Financial Markets ◽  
Capital Markets ◽  
Stock Exchange ◽  
Impulse Response Function ◽  
The United States ◽  
Causality Test ◽  
Vector Autoregressive ◽  
Equilibrium Relationship ◽  
The Us

In the context of globalization, due to the accelerated process of economic integration of countries and financial markets, the interdependence of the world's leading financial markets is more than obvious. This paper investigates the interdependence of stock exchange indices from leading capital markets in the world: USA, European Union and Asia. Our intention is to determine the direction of causality between the observed capital markets, as well as whether and in what way shocks in one market are transmitted to other markets. Research methodology includes stationarity testing, the existence of cointegration, the application of the Vector Autoregressive Model (VAR) which is complemented by the Granger causality test and the Impulse Response Function (IRF) analysis. The results of the research are as follows. Johansen's cointegration test showed that there is no long-term equilibrium relationship between the observed markets, while Granger's test showed that there is mutual causality between the capital markets of Germany and the United States. As for the Japanese index, previous events in Germany and the United States are statistically significant, but previous events on the Tokyo Stock Exchange cannot explain movements in Germany and the United States. According to the results of the IRF analysis, shocks that may occur in the US market have an almost identical impact on all observed markets. On the other hand, disturbances on the Japanese market are not transmitted to the German and American market, i.e. remain in Japan.

scholarly journals The Exchange Stabilization Fund: How It Works

1999 ◽  
pp. 1-4
Author(s):  
William P. Osterberg ◽  
James B. Thomson
Keyword(s):  
United States ◽  
South Korea ◽  
Financial Markets ◽  
The United States ◽  
Financial Assistance ◽  
International Financial Markets

The increased turmoil in international financial markets, starting with the Asian crises of 1997, has led to calls for financial assistance from the wealthier nations. In December 1997, the United States announced a $5 billion commitment toward an international package of financial assistance for South Korea. Two months earlier the United States pledged $3 billion for assistance to Indonesia. In both instances, the Exchange Stabilization Fund (ESF) was to be involved.

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