Foreign institutional ownership and liquidity commonality around the world

被引：57
作者：
Deng, Baijun [1 ,2 ]
Li, Zhongfei [3 ]
Li, Yong [4 ,5 ]
机构：
[1] Shenzhen Capital Grp Co Ltd, Res Ctr, Shenzhen 518048, Peoples R China
[2] Tsinghua Univ, PBC Sch Finance, Beijing 100083, Peoples R China
[3] Sun Yat Sen Univ, Sun Yat Sen Business Sch, Guangzhou 510275, Guangdong, Peoples R China
[4] Univ Int Business & Econ, Sch Banking & Finance, Beijing 100029, Peoples R China
[5] Univ Queensland, UQ Business Sch, Brisbane, Qld 4072, Australia
来源：
JOURNAL OF CORPORATE FINANCE | 2018年 / 51卷
基金：
中国博士后科学基金; 中国国家自然科学基金;
关键词：
Foreign institutional ownership; Liquidity commonality; International finance; INVESTORS; TRANSPARENCY; DETERMINES; GOVERNANCE; VALUATION; ANALYSTS; BIAS; LAW;
D O I：
10.1016/j.jcorpfin.2018.04.005
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
In this study, we identify the relation between foreign institutional ownership and stock liquidity commonality in 39 countries from 2000 to 2014. Our results show a negative and robust linkage between foreign institutional ownership and global stock liquidity commonality. Corporate transparency is a key mechanism through which foreign institutional investors can reduce stock liquidity commonality. Independent and U.S.-based foreign institutional investors have a greater effect on reducing stock liquidity commonality. Additionally, there is a U-shaped relation between foreign institutional ownership and stock liquidity commonality. Next, we provide evidence that foreign institutional investors mitigate the effects of local culture, exaggerate the impacts of economic policy uncertainty, and substitute the role of a country's corporate governance level. Finally, it is evident that stock liquidity commonality mediates the relation between foreign institutional ownership and firm valuation. Foreign institutional investors can enhance firm valuation through stock liquidity commonality and stock illiquidity.
引用
收藏
页码：20 / 49
页数：30
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