Foreign institutional investors and stock return comovement

Jiang, Li; Kim, Jeong-Bon; Pang, Lei

doi:10.1186/s11782-018-0036-8

Frontiers of Business Research in China

Table 1 Summary statistics by country

From: Foreign institutional investors and stock return comovement

Country and region	No. of obs.	Comovement	IO_TOTAL	IO_DOM	IO_FOR	Common law
Argentina	221	−0.6570	0.0188	0.0000	0.0188	0
Australia	2339	− 1.7074	0.0864	0.0472	0.0392	1
Austria	304	− 1.4772	0.0923	0.0224	0.0699	0
Belgium	465	−1.4220	0.1057	0.0620	0.0438	0
Brazil	474	−1.1107	0.0670	0.0000	0.0670	0
Canada	2864	−1.7022	0.2292	0.1806	0.0486	1
Chile	382	−1.1644	0.0059	0.0000	0.0059	0
Chinese mainland	414	−1.0993	0.2356	0.0103	0.2253	0
Denmark	510	−1.4868	0.0960	0.0459	0.0501	0
Finland	549	−1.4146	0.1834	0.0719	0.1115	0
France	2898	−1.4413	0.1245	0.0781	0.0464	0
Germany	2256	−1.4403	0.1443	0.0758	0.0685	0
Greece	996	−0.6872	0.0788	0.0600	0.0188	0
Chinese Hong Kong	2227	−1.3552	0.0689	0.0070	0.0619	1
Hungary	109	−1.0399	0.1393	0.0000	0.1393	0
India	1358	−0.7188	0.1104	0.0715	0.0389	1
Indonesia	548	−0.8818	0.0660	0.0000	0.0660	0
Ireland	179	−1.4733	0.1379	0.0066	0.1313	1
Israel	497	−1.1497	0.0822	0.0020	0.0802	1
Italy	1032	−1.1080	0.0900	0.0383	0.0517	0
Japan	16,351	−1.1069	0.0404	0.0229	0.0175	0
Korea (South)	1892	−1.0690	0.0602	0.0000	0.0602	0
Malaysia	2059	−0.9885	0.0170	0.0000	0.0170	1
Netherlands	224	−1.3906	0.2854	0.0600	0.2253	0
New Zealand	287	−1.4265	0.0552	0.0000	0.0552	1
Norway	429	−1.1294	0.1823	0.1111	0.0713	0
Pakistan	109	−0.1594	0.0297	0.0000	0.0297	1
Philippines	286	−1.0874	0.0340	0.0000	0.0340	0
Poland	263	−1.0660	0.1402	0.0678	0.0724	0
Portugal	254	−1.2946	0.1196	0.0722	0.0474	0
Russian Federation	105	−0.6963	0.0410	0.0000	0.0410	0
Singapore	1250	−1.1749	0.0562	0.0154	0.0408	1
South Africa	863	−1.4400	0.1207	0.0923	0.0284	1
Spain	614	−1.1063	0.1531	0.0823	0.0708	0
Sweden	1010	−1.1493	0.2679	0.1878	0.0801	0
Switzerland	932	−1.3910	0.1728	0.0752	0.0977	0
Chinese Taiwan	1656	−0.9409	0.0405	0.0001	0.0404	0
Thailand	881	−1.0711	0.0503	0.0000	0.0503	1
Turkey	148	−0.4251	0.2240	0.0000	0.2240	0
United Kingdom	4495	−1.6473	0.1688	0.1339	0.0349	1

Notes. This table shows the number of observations, the average of return comovement and institutional ownership by country, and the country level variables of investor protection

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