Investigating the Trading Behavior of Institutional Investors in Response to Market Fluctuations

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Ahrabi, Hamid Reza | 2021

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Type of Document: M.Sc. Thesis
Language: Farsi
Document No: 54456 (44)
University: Sharif University of Technology
Department: Management and Economics
Advisor(s): Ebrahimnejad, Ali
Abstract:
In the present study, we examine the behavior of institutional investors in response to fluctuations in the Iranian stock market. Specifically, we examine the question of whether, in significant market fluctuations, institutional investors engage in grievous trading behavior and follow market trends or move in the opposite direction of the market and provide liquidity. For this purpose, we examine the relationship between the percentage of ownership of institutional shareholders and the stock price return and the trading volume of companies in severe market fluctuations. Also, we obtain the relationship between the percentage of ownership of institutional shareholders and stock price returns for different types of these investors (including banks, funds, organizations, etc.). In this regard, using the daily data of listed and OTC companies in the years 1389 to 1399, it is observed that institutional investors act in the opposite direction of the market in severe market fluctuations and increase the liquidity of their shares, and there is no evidence of herding behavior in their trades' strategy
Keywords:
Value Weighted Index ; Institutional Investors ; Stock Market ; Herd Behavior ; Trading Behavior ; Economic Fluctuations

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