Institutional ownership and stock return volatility during the COVID-19 crisis: An international evidence

Abstract

Using a sample of 39 countries from 2010 through 2021, we find that while institutional holdings have the stabilizing effect during the normal (non-crisis) period, they appear to move stock prices away from fundamentals during the COVID-19 crisis. Furthermore, the impact of foreign and domestic institutions is not homogenous. We also find that institutional investors help reduce stock return volatility in countries more strongly affected by the COVID-19 crisis. Finally, our results indicate that investor protection moderates the impact of institutional holdings on stock return volatility in both pre- and crisis periods.