Purpose

The purpose of this paper is to investigate how institutional ownership is related to the stock return volatility of initial public offerings (IPOs) in an emerging market and to examine the relationship between institutional ownership and underpricing.

Design/methodology/approach

This paper investigates these relationships using White’s (1980) regression and 2 × 3 portfolios sorted by firm size and institutional holdings. The regression method examines the relationships across firms with different characteristics such as size, stock price, growth potential, firm age and type of investors. The data were chosen for this sample to cover the new equity issuances listed on the Thailand Stock Exchange for the period 2001–2019.

Findings

The empirical results suggest that institutional ownership is negatively associated with initial stock return volatility. This highlights the importance of institutional investors in maintaining stability in emerging stock markets. Additionally, it was found that institutional holding and underpricing are negatively correlated. The results are robust after controlling for potential heteroskedasticity and differences in firm characteristics.

Originality/value

To the best knowledge of the author, this paper is the first to study the relationship between institutional investors and volatility in Thai IPOs, and hence provides a deeper understanding of how investors influence the price formation and volatility of stock prices in emerging markets. Furthermore, besides academics, the results presented in this paper could be useful for market regulators and policymakers in designing future market regulations to efficiently stabilize equity markets.

中文翻译：

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机构投资者会稳定股票收益吗？来自新兴IPO市场的证据

目的

本文的目的是调查机构所有权与新兴市场中首次公开募股（IPO）的股票收益波动率之间的关系，并研究机构所有权与定价偏低之间的关系。

设计/方法/方法

本文使用怀特（1980）回归和按公司规模和机构持股进行排序的2×3投资组合来研究这些关系。回归方法检查具有不同特征（如规模，股价，增长潜力，企业年龄和投资者类型）的企业之间的关系。选择该样本的数据以涵盖泰国证券交易所2001-2019年期间发行的新股票。

发现

实证结果表明，机构所有权与初始股票收益波动率负相关。这凸显了机构投资者在维持新兴股票市场稳定方面的重要性。此外，还发现机构持有和定价偏低是负相关的。在控制潜在的异方差性和公司特征差异之后，结果是可靠的。

创意/价值

就作者所知，本文是第一个研究机构投资者与泰国IPO波动性之间关系的文章，因此可以更深入地了解投资者如何影响新兴市场的价格形成和股价波动性。此外，除学术界外，本文介绍的结果对于市场监管机构和政策制定者在设计未来市场法规以有效稳定股票市场方面可能很有用。