Does institutional ownership matter for international stock return comovement?

José A. Faias, Miguel A. Ferreira

Research output: Contribution to journalArticlepeer-review

17 Citations (Scopus)
30 Downloads (Pure)


We study the link between international stock return comovements and institutional investment. We test whether the rise of institutional ownership has increased cross-country correlations and decreased cross-industry correlations. Using stock-level institutional holdings across 45 countries during the 2001–2010 period, we find that industry and global factors are relatively more important the country factors in explaining stock return variation among stocks with higher institutional ownership. Industry diversification strategies are more beneficial than country diversification strategies for stocks with high institutional ownership. We show that cross-border portfolio investment is a powerful force of international capital market integration and convergence of asset prices.

Original languageEnglish
Pages (from-to)64-83
Number of pages20
JournalJournal of International Money and Finance
Publication statusPublished - 1 Nov 2017


  • Comovements
  • Institutional investors
  • International capital markets
  • International diversification


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