Please use this identifier to cite or link to this item:
http://hdl.handle.net/10397/93372
Title: | Catastrophic risk and institutional investors : evidence from institutional trading around 9/11 | Authors: | Chen, Y Hu, G Yu, DB Zhao, J |
Issue Date: | Sep-2019 | Source: | Pacific basin finance journal, Sept. 2019, v. 56, p. 211-233 | Abstract: | Using a large sample of transaction-level institutional trading data, we investigate the role of institutional investors in stock market around the terrorist attacks on September 11, 2001 (9/11), a sudden exogenous catastrophic shock to financial markets. We find that institutional investors remain net buyers amid the large market-wide crisis following 9/11. Furthermore, stocks that are highly bought by institutions earn higher abnormal future returns than stocks that are highly sold. We also examine trading patterns across different types of institutional investors and various industry sectors. Our results suggest that institutional investors act as liquidity providers rather than engage in panic selling during market crises caused by catastrophic events. We also find that their liquidity provision trading is rational and profitable. Overall, our findings support the market stabilization role played by institutional investors who lend a “steady hand” during high-stress periods in financial markets. | Keywords: | Catastrophic risk Institutional investor Market crisis and stability Trading |
Publisher: | Elsevier | Journal: | Pacific basin finance journal | ISSN: | 0927-538X | DOI: | 10.1016/j.pacfin.2019.06.004 | Rights: | © 2019 Elsevier B.V. All rights reserved. © 2019. This manuscript version is made available under the CC-BY-NC-ND 4.0 license https://creativecommons.org/licenses/by-nc-nd/4.0/ The following publication Chen, Y., Hu, G., Yu, D. B., & Zhao, J. (2019). Catastrophic risk and institutional investors: Evidence from institutional trading around 9/11. Pacific-Basin Finance Journal, 56, 211-233 is available at https://doi.org/10.1016/j.pacfin.2019.06.004 |
Appears in Collections: | Journal/Magazine Article |
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Zhao_Catastrophic_Risk_Institutional.pdf | Pre-Published version | 1.36 MB | Adobe PDF | View/Open |
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