The Effect of Institutional Investors on Idiosyncratic Volatility in Iran Stock Market

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اثرات سرمایه‌گذاران حقوقی بر روی نوسانات خاص در بازار سهام ایران

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Type of Document: M.Sc. Thesis
Language: Farsi
Document No: 57572 (44)
University: Sharif University of Technology
Department: Management and Economics
Advisor(s): Talebian, Masoud; Haghbaali, Mahdi
Abstract:
In this research, we investigated the relationship between the percentage of institutional investors and two components of idiosyncratic volatility. We show a negative relationship between the percentage of institutional investors and the firm-specific volatility in the next month which lasts for six months. Regarding the industry-specific volatility, there is also a negative relationship, but it lasts only for one month
Keywords:
Idiosyncratic Volatility ; Institutional Investors ; Firm-Specific Volatility ; Industry-Specific Volatility ; Stock Market

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