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Does institutional ownership matter for international stock return comovement?
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Autores
Orientador(es)
Resumo(s)
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.
Descrição
funding: Portuguese Foundation for Science and Technology-FCT (UID/GES/00407/2013 PTDC/IIM-FIN/2977/2014) and European Research Council
Palavras-chave
Comovements Institutional investors International capital markets International diversification Finance Economics and Econometrics