The Relation between the Shareholder Base and Investment Return Volatilities in Industrial Companies Listed on the Tehran Stock Exchange

The purpose of this study is to investigate the relation between the shareholder basic and the investment return volatilities of the industrial companies listed on the Tehran Stock Exchange. In this study, one hundred companies active in the Tehran Stock Exchange which have had a relatively higher level of liquidity, were selected as a sample over a 6 year- period (2014-2019). In this regard, a panel data regression model was used. According to the existence of heteroscedasticity problem in the estimated results, the GLS method was used for estimating the model’s parameters. Also, based on the iterative fixed effect test and Hausman test, the random effects model was preferable to the fixed effects model. Hence, a panel regression model was formulated by random effects. The results show that by increasing the number of the large shareholders of the industrial companies and their ownership percentage, two effects are created. The first effect is related to reducing the herding behavior of the large shareholders and subsequently related to reducing the return volatility level of the industrial companies. The second effect is related to the share price volatilities which have been arisen from the trading effects of the large shareholders. Also, by increasing the number of the large shareholders and their ownership percentage, gradually the impact of the trading market of the large shareholders on the companies return volatilities superior to the impact of the more informed shareholders.