Institutional investment activities and stock market volatility amid COVID-19 in India

References

• Albulescu, C. T. (2021). COVID-19 and the United States financial markets' volatility. Finance Research Letters, 38, 101699. https://doi.org/10.1016/j.frl.2020.101699
   PubMed Web of Science ®Google Scholar
• Ali, M., Alam, N., & Rizvi, S. A. R. (2020). Coronavirus (COVID-19) - An epidemic or pandemic for financial markets. Journal of Behavioral and Experimental Finance, 27, 100341. https://doi.org/10.1016/j.jbef.2020.100341
   PubMed Web of Science ®Google Scholar
• Avramov, D., Chordia, T., & Goyal, A. (2006). The impact of trades on daily volatility. Review of Financial Studies, 19(4), 1241–1277. https://doi.org/10.1093/rfs/hhj027
   Web of Science ®Google Scholar
• Baek, S., Mohanty, S. K., & Glambosky, M. (2020). COVID-19 and stock market volatility: An industry level analysis. Finance Research Letters, 37, 101748. https://doi.org/10.1016/j.frl.2020.101748
   PubMed Web of Science ®Google Scholar
• Bohl, M. T., Brzeszczyński, J., & Wilfling, B. (2009). Instituional investors and stock returns volatility: Empirical evidence from a natural experiment. Journal of Financial Stability, 5(2), 170–182. https://doi.org/10.1016/j.jfs.2008.02.003
   Web of Science ®Google Scholar
• Cao, C., Chang, E. C., & Wang, Y. (2008). An empirical analysis of the dynamic relationship between mutual fund flow and market return volatility. Journal of Banking & Finance, 32(10), 2111–2123. https://doi.org/10.1016/j.jbankfin.2007.12.035
   Web of Science ®Google Scholar
• Chakrabarti, R. (2002). FII flows to India: Nature and causes. Money and Finance, 2(7), 61–81.
   Google Scholar
• Che, L. (2018). Investors types and stock return volatility. Journal of Empirical Finance, 47, 139–161. https://doi.org/10.1016/j.jempfin.2018.03.005
   Web of Science ®Google Scholar
• Chhimwal, B., & Bapat, V. (2020). Impact of foreign and domestic investment in stock market volatility: Empirical Evidence from India. Cogent Economics & Finance, 8(1), 1754321. https://doi.org/10.1080/23322039.2020.1754321
   Web of Science ®Google Scholar
• Davidson, W. N., & Dutia, D. (1989). A note on the behavior of securities returns: A test of stock market overreaction and efficiencies. Journal of Financial Research, 12(3), 245–252. https://doi.org/10.1111/j.1475-6803.1989.tb00517.x
   Web of Science ®Google Scholar
• De Long, B. J., Shleifer, A., Summers, L. H., & Waldmann, R. J. (1990). Positive feedback investment strategies and destabilizing rational speculation. The Journal of Finance, 45(2), 379–395. https://doi.org/10.1111/j.1540-6261.1990.tb03695.x
   Web of Science ®Google Scholar
• Freidman, M. (1953). The case for Flexible exchange rates. In Essays in positive economics. University of Chicago Press.
   Google Scholar
• Gabaix, X., Gopikrishnan, P., Plerou, V., & Stanley, H. E. (2006). Institutional investors and stock market volatility. The Quarterly Journal of Economics, 121(2), 461–504. https://doi.org/10.1162/qjec.2006.121.2.461
   Web of Science ®Google Scholar
• Grinblatt, M., & Titman, S. (1989). Mutual fund performance: An analysis of quarterly portfolio holdings. The Journal of Business, 62(3), 393–416. https://doi.org/10.1086/296468
   Web of Science ®Google Scholar
• Gutierrez Jr, R. C., & Kelley, E. K. (2007). Pacific Northwest Finance Conference Paper, Institutional Investors and Stock prices: Destabilizing and Stabilizing Herds., October 2007. Retrieved October 2007, from https://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.383.9480&rep=rep1&type=pdf
   Google Scholar
• Han, L., Zheng, Q., Li, L., & Yin, L. (2015). Do foreign institutional investors stabilize the capital market? Economics Letters, 136, 73–75. https://doi.org/10.1016/j.econlet.2015.09.008
   Web of Science ®Google Scholar
• Haron, R., & Ayojimi, S. M. (2019). The impact of GST implementation on the Malaysian stock market index volatility: An empirical approach. Journal of Asian Business and Economic Studies, 26(1), 17–33. https://doi.org/10.1108/JABES-06-2018-0027
   Google Scholar
• Harris, L., & Gurel, E. (1986). Price and Volume effects associated with changes in the S&P 500: New evidence for the existence of price pressures. The Journal of Finance, 41(4), 815–829. https://doi.org/10.1111/j.1540-6261.1986.tb04550.x
   Web of Science ®Google Scholar
• Ikizlerli, D. (2020). Institutional investor and stock market volatility: evidence from Korea. Applied Economics Letters, 27(6), 473–476. https://doi.org/10.1080/13504851.2019.1632413
   Web of Science ®Google Scholar
• Jensen, M. C. (1968). The performance of mutual funds in the period 1945-1964. The Journal of Finance, 23(2), 389–416. https://doi.org/10.1111/j.1540-6261.1968.tb00815.x
   Web of Science ®Google Scholar
• Kang, J. K., & Stulz, R. (1997). Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan. Journal of Financial Economics, 46(1), 3–28. https://doi.org/10.1016/S0304-405X(97)00023-8
   Web of Science ®Google Scholar
• Kim, J., & Yoo, S. S. (2009). Market liberalization and foreign equity portfolio selection in Korea. Journal of Multinational Financial Management, 19(3), 206–220. https://doi.org/10.1016/j.mulfin.2008.11.003
   Google Scholar
• Lakonishok, J., Shleifer, A., & Vishny, R. W. (1992). The impact of institutional trading on stock prices. Journal of Financial Economics, 32(1), 23–43. https://doi.org/10.1016/0304-405X(92)90023-Q
   Web of Science ®Google Scholar
• Lee, C. M. C., Shleifer, A., & Thaler, R. H. (1991). Investor sentiment and the closed-end fund puzzle. The Journal of Finance, 46(1), 75–109. https://doi.org/10.1111/j.1540-6261.1991.tb03746.x
   Web of Science ®Google Scholar
• Li, W., & Wang, S. S. (2010). Daily institutional trades and stock price volatility in a retail investor dominated emerging market. Journal of Financial Markets, 13(4), 448–474. https://doi.org/10.1016/j.finmar.2010.07.003
   Web of Science ®Google Scholar
• Mishra, A. K., Rath, B. N., & Dash, A. K. (2020). Does the Indian financial market nosedive because of the COVID-19 outbreak, in comparison to after demonetization and the GST? Emerging Markets Finance and Trade, 56(10), 2162–2180. https://doi.org/10.1080/1540496X.2020.1785425
   Web of Science ®Google Scholar
• Mukherjee, P., Bose, S., & Coondoo, D. (2002). Foreign institutional investment in the Indian equity market- An analysis of daily flows during January 1999- May. Money and Finance, 2(2002), 9–10.
   Google Scholar
• Mukherjee, P., & Roy, M. (2011). The nature and determinants of investments by institutional investors in the Indian stock market. Journal of Emerging Market Finance, 10(3), 253–283. https://doi.org/10.1177/097265271101000301
   Google Scholar
• Naik, P. K., & Padhi, P. (2015). Interaction of institutional investment activity and stock market volatility. Asia-Pacific Journal of Management Research and Innovation, 11(3), 219–229. https://doi.org/10.1177/2319510X15588385
   Google Scholar
• Nguyen, T., Chaiechi, T., Eagle, L., & Low, D. (2019). Growth enterprise market in Hong Kong: Efficiency evolution and long memory in return and volatility. Journal of Asian Business and Economic Studies, 27(1), 19–34. https://doi.org/10.1108/JABES-01-2019-0009
   Google Scholar
• Oh, N. Y., & Parwada, J. T. (2007). Relations between mutual fund flows and stock market returns in Korea. Journal of International Financial Markets, Institutions and Money, 17(2), 140–151. https://doi.org/10.1016/j.intfin.2005.10.001
   Google Scholar
• Pool, V. K., Stoffman, N., & Yonker, S. E. (2012). No Place like home: familiarity in mutual fund manager portfolio choice. The Review of Financial Studies, 25(8), 2563–2599. https://doi.org/10.1093/rfs/hhs075
   Web of Science ®Google Scholar
• Sehgal, S., & Tripathi, N. (2009). An examination of home advantage (Bias) argument in the Indian financial markets: Domestic Financial Institutional Investors (DFIIs) vis-a-vis Foreign Institutional Investors (FIIs). Asian Journal of Finance and Accounting, 1(2), 163–174.
   Google Scholar
• Sharpe, W. F. (1966). Mutual fund performance. The Journal of Business, 39(S1), 119–138. https://doi.org/10.1086/294846
   Web of Science ®Google Scholar
• Shleifer, A. (1986). Do demand curves for stock slope down? The Journal of Finance, 41(3), 579–590. https://doi.org/10.1111/j.1540-6261.1986.tb04518.x
   Web of Science ®Google Scholar
• Sias, R. W. (1996). Volatility and the Institutional Investors. Financial Analysts Journal, 52(2), 13–20. https://doi.org/10.2469/faj.v52.n2.1976
   Google Scholar
• Thenmozhi, M., & Kumar, M. (2009). Dynamic interaction among mutual fund flows, stock market return and volatility. NSE Working Papers, 50, 1–30.
   Google Scholar
• Thiripalraju, M., & Acharya, R. (2011). Dynamic interaction between institutional investment and stock returns in India: A case of FIIs and MFs. Indian Institute of Capital Markets.
   Google Scholar
• Topcu, M., & Gulal, O. S. (2020). The impact of COVID-19 on emerging stock markets. Finance Research Letters, 36, 101691. https://doi.org/10.1016/j.frl.2020.101691
   PubMed Web of Science ®Google Scholar
• Treynor, J. L. (1965). How to rate management of investment funds. Harvard Business Review, 43(1), 63–75.
   Web of Science ®Google Scholar
• Treynor, J. L., & Mazuy, K. K. (1966). Can Mutual funds outguess the market? Harvard Busuness Review, 44(4), 131–136.
   Web of Science ®Google Scholar
• Umutlu, M., & Shackleton, M. (2015). Stock return volatility and daily equity trading by investor groups in Korea. Pacific-Basin Finance Journal, 34, 43–70. https://doi.org/10.1016/j.pacfin.2015.05.003
   Web of Science ®Google Scholar
• Wang, J. (1993). A model of intertemporal asset prices under asymmetric information. The Review of Economic Studies, 60(2), 249–282. https://doi.org/10.2307/2298057
   Web of Science ®Google Scholar
• Wang, J. (2007). Foreign equity trading and emerging market volatility: Evidence from Indonesia and Thailand. Journal of Development Economics, 84(2), 798–811. https://doi.org/10.1016/j.jdeveco.2006.05.001
   Web of Science ®Google Scholar
• Zhang, D., Hu, M., & Ji, Q. (2020). Financial markets under the global pandemic of COVID-19. Finance Research Letters, 36, 101528. https://doi.org/10.1016/j.frl.2020.101528
   PubMed Web of Science ®Google Scholar