Institutional ownership and commonality in liquidity

We investigate the relation between institutional ownership and commonality in liquidity and whether this relation differs across country-level institutional and information environments. Using a comprehensive dataset for firms across 40 countries for the period between 2000 and 2016, we find that i...

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Bibliographic Details
Published inResearch in international business and finance Vol. 57; p. 101422
Main Authors Vo, Thi Thuy Anh, Dang, Tung Lam, Dang, Man, Hoang, Viet Anh
Format Journal Article
LanguageEnglish
Published Elsevier B.V 01.10.2021
Subjects
Corporate governance
Firm transparency
Institutional characteristics
Institutional ownership
Liquidity commonality
Firm transparency
Institutional characteristics
Corporate governance
G23
G15
Institutional ownership
G14
Liquidity commonality
G38
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Summary:We investigate the relation between institutional ownership and commonality in liquidity and whether this relation differs across country-level institutional and information environments. Using a comprehensive dataset for firms across 40 countries for the period between 2000 and 2016, we find that institutional ownership is negatively associated with stock liquidity commonality. In addition, a firm’s information environment plays the moderating role in the relation between institutional ownership and commonality in stock liquidity. Importantly, we document that the negative association between institutional ownership and liquidity commonality is stronger for firms in countries with weak institutional characteristics or less transparent information environments. Our findings provide additional insights into the role of institutional investors as a demand-side factor of liquidity commonality in international financial markets.
ISSN:0275-5319
1878-3384
DOI:10.1016/j.ribaf.2021.101422