The Institutional Investors’ Types of Behavior in Tehran Stock Exchange at Different Market Risk Levels (Panel Quantile Approach)

Institutional Investors in the Tehran Stock Exchange (with a large amount of assets and a significant share of transactions) have a significant effect on the market. This issue, along with the low depth of the market, gave them a power to be influential in the market, and as a result, they can manipulate the prices and create fluctuations in the market. While the main duty of Institutional Investors is to stabilize, they can abuse their market power and increase market instability. Therefore, recognizing their behavioral types in different level of risk is important. This study answers the question of whether the behavior of Institutional Investors in the Tehran Stock Exchange, in controlling and managing market risk, changes with changing levels of risk. The study is done for years 2018 to 2020 that the Tehran Stock Exchange experienced a huge fluctuations and includes 20 market-making companies. The method used in the research is the panel quantile model, which gives the possibility of studying the behavior of Institutional Investors in different quantiles. The results show the Institutional investors have 3type of behavior. At the initial and lower levels of risk, Institutional actors increase market risk. But at higher levels of risk quantiles, Institutional actors have a negative effect on market risk and at the middle level of risk they are neutral. This implies that market Institutional actors tend to have a moderate level of risk. Therefore, in the studied years, the Institutional investors increased the risk in the market and only when the fluctuations have reached higher levels, they have prevented large fluctuations according to their interests.