TY  - JOUR
AU  - Gabaix,Xavier
AU  - Gopikrishnan,Parameswaran
AU  - Plerou,Vasiliki
AU  - Stanley,H. Eugene
TI  - Institutional Investors and Stock Market Volatility
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 11722
PY  - 2005
Y2  - November 2005
UR  - http://www.nber.org/papers/w11722
L1  - http://www.nber.org/papers/w11722.pdf
N1  - Author contact info:
Xavier Gabaix
New York University
Finance Department
Stern School of Business
44 West 4th Street, 9th floor
New York, NY 10012
Tel: 212-998-0257
Fax: 212-995-4233
E-Mail: xgabaix@stern.nyu.edu

Parameswaran Gopikrishnan
Boston University
E-Mail: gopi@cgl.bu.edu

Vasiliki Plerou
Boston University
E-Mail: plerou@cgl.bu.edu

H. Eugene Stanley
Boston University
E-Mail: hes@miranda.bu.edu
AB  - We present a theory of excess stock market volatility, in which market movements are due to trades by very large institutional investors in relatively illiquid markets. Such trades generate significant spikes in returns and volume, even in the absence of important news about fundamentals. We derive the optimal trading behavior of these investors, which allows us to provide a unified explanation for apparently disconnected empirical regularities in returns, trading volume and investor size.
ER  -