The impact of investor protection on stock market volatility

IF 3.6 Q1 BUSINESS, FINANCE Review of Accounting and Finance Pub Date : 2023-10-13 DOI:10.1108/raf-09-2022-0244
João Silva, Lígia Febra, Magali Costa
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Abstract

Purpose This study aims to advance knowledge on the direct impact of the investor’s protection level on the stock market volatility, that is, whether investor’s protection is an important stock market volatility determinant. Design/methodology/approach A panel data was estimated using a sample of 48 countries, from 2006 to 2018, totalizing 31,808 observations. To measure stock market volatility and the investor protection level, a generalized autoregressive conditional heteroskedasticity model and the World Bank Doing Business investor protection index were used, respectively. Findings The results evidence that the protection of investors’ rights reduces the stock market volatility. This result indicates that a high level of investor protection, which is the result of a better quality of laws and policies in place that protect investor’s rights, promotes the country as a “safe haven.” Practical implications The relationship that the authors intend to analyze becomes important, given that investor protection will give outsiders guarantees on the materialization of their investments. This study contributes important knowledge for investors and for the establishment of government policies as a way of attracting investment. Originality/value Although there have been a few studies addressing this relationship, to the knowledge, none of them directly analyses the influence of investor protection on the stock market volatility.
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投资者保护对股市波动的影响
本研究旨在进一步了解投资者保护水平对股票市场波动的直接影响,即投资者保护是否是股票市场波动的重要决定因素。设计/方法/方法使用2006年至2018年48个国家的样本估计了面板数据,共进行了31808次观察。为了衡量股市波动率和投资者保护水平,分别使用了广义自回归条件异方差模型和世界银行营商环境报告投资者保护指数。结果表明,投资者权益保护降低了股票市场的波动性。这一结果表明,保护投资者权利的法律和政策质量提高,从而为投资者提供了高水平的保护,从而使该国成为“避风港”。考虑到投资者保护将为外部投资者的投资实现提供保证,作者打算分析的关系变得很重要。该研究为投资者和政府制定吸引投资的政策提供了重要的知识。虽然有一些研究解决了这一关系,但据我所知,没有一个研究直接分析投资者保护对股票市场波动的影响。
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CiteScore
4.30
自引率
0.00%
发文量
18
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