Which type of investors increases stock return volatility? On the one hand, the behavioral finance literature shows that individual investors, who are usually considered as noise traders, have poor performance, and exacerbate stock return volatility (Odean (1998), Barber and Odean (2000), Barber et al. (2009), Foucault et al. (2011)). However, there is evidence that individual investors are contrarian traders (Grinblatt and Keloharju (2000), Kaniel et al. (2008)), which reduces volatility (Avramov et al. (2006)). On the other hand, French and Roll (1986) find that private information is the foremost factor behind high trading-time variances, which indicates that informed investors increase return volatility through their informed trading. Evidence shows that institutional investors are informed investors and follow a momentum strategy (Grinblatt and Keloharju (2000)), and momentum trading increases stock return volatility (De Long et al. (1990)). Hence, which type of investors increases volatility warrants an empirical investigation. The extant literature on volatility and investor ownership mainly focuses on one type of investors, either institutional or individual investors (Foucault et al. (2011), Brandt et al. (2010), Malkiel and Xu (2003), Bennett et al. (2003), Sias (1996)), or foreign investors (Choe et al. (1999)). This paper is the first, to the best knowledge of the author, to study multiple types of investors in the same setting using finer data and hence provides a deeper understanding of how different groups of investors influence the price formation and affect return volatility. Stock return volatility plays an essential role in e.g., asset pricing, risk control, portfolio management, derivative pricing, and the cost of capital.1 Campbell et al. (2001) provide strong arguments for the importance of total (idiosyncratic) volatility at the firm level.2 However, our understanding of the determinants of stock return volatility is limited (Foucault et al. (2011)). This paper sheds new insights on the behavior of stock prices, which crucially depends on the nature of investor heterogeneity (Wang (1994)).