Abstract
This paper uses the 111 hybrid funds in 10 years which are across the two bull markets data to calculate institutional investors’ active position. Using Granger causality test, VAR dynamic impact model and GARCH model, we find that the behavior of institutional investors directly affect the stock market returns and exacerbate market volatility. Therefore, institutional investors are not market stabilizers.
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More From: DEStech Transactions on Social Science, Education and Human Science
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