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Institutional investor attention and stock market volatility and liquidity: international evidence

Abstract : In this paper, we examine the influence of the daily institutional investor attention to particular stocks on stock volatility and liquidity. The institutional investor attention is measured from the number of times that users of Bloomberg terminal, who are mostly institutional investors, search for or read articles on a specific stock. Relying on a large international dataset of approximately a million daily observations over the period 2011–2020 from nine countries (Canada, France, Germany, Japan, Russia, South Korea, Switzerland, the UK, and the US), we find that this recent measure of institutional investor attention has a strong positive effect on stock volatility and liquidity. Confirmed by a battery of robustness tests, our findings suggest that this continuous barometer of attention by institutional investors can be used by financial practitioners to predict future stock volatility and liquidity.
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https://hal-u-picardie.archives-ouvertes.fr/hal-03821680
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Soumis le : mercredi 19 octobre 2022 - 18:23:58
Dernière modification le : jeudi 20 octobre 2022 - 03:55:55

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Imane El Ouadghiri, Elias Erragragui, Jamil Jaballah, Jonathan Peillex. Institutional investor attention and stock market volatility and liquidity: international evidence. Applied Economics, 2022, 54 (42), pp.4839-4854. ⟨10.1080/00036846.2022.2036689⟩. ⟨hal-03821680⟩

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