Does institutional ownership matter for international stock return comovement?

José A. Faias, Miguel A. Ferreira

Research output: Contribution to journalArticle

4 Citations (Scopus)
6 Downloads (Pure)

Abstract

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
Volume78
DOIs
Publication statusPublished - 1 Nov 2017

Fingerprint

Industry
International stock returns
Comovement
Institutional ownership
Factors
Diversification strategy
Portfolio investment
Cross-border
Capital market integration
Stock returns
Asset prices
International capital markets
Institutional investment

Keywords

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

Cite this

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title = "Does institutional ownership matter for international stock return comovement?",
abstract = "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.",
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Does institutional ownership matter for international stock return comovement? / Faias, José A.; Ferreira, Miguel A.

In: Journal of International Money and Finance, Vol. 78, 01.11.2017, p. 64-83.

Research output: Contribution to journalArticle

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