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Frontiers of Business Research in China

Table 3 Comovement and domestic versus foreign institutions

From: Foreign institutional investors and stock return comovement

 

(1)

(2)

(3)

(4)

IO_TOTAL t-1

0.0371

   

(1.16)

   

IO_DOM t-1

 

0.0997**

0.0862*

0.0902**

 

(2.25)

(1.96)

(2.05)

IO_FOR t-1

 

−0.0279**

  
 

(−1.98)

  

IO_FOR_COMMON t-1

  

−0.2170***

 
  

(−4.05)

 

IO_FOR_CIVIL t-1

  

0.7650***

 
  

(6.06)

 

IO_FOR_HASD t-1

   

−0.1810***

   

(−3.50)

IO_FOR_LASD t-1

   

0.8150***

   

(5.62)

SIZE t-1

0.1132***

0.1131***

0.1132***

0.1131***

(32.19)

(32.24)

(32.31)

(32.23)

Comovement t-1

0.2251***

0.2252***

0.2243***

0.2242***

(47.37)

(47.34)

(47.21)

(47.20)

MB t-1

0.0015

0.0016

0.0015

0.0015

(1.07)

(1.14)

(1.10)

(1.10)

LEV t-1

0.1163***

0.1152***

0.115***

0.1142***

(4.04)

(3.99)

(3.98)

(3.95)

ACCR t

−0.0001

−0.0001

−0.0000

−0.0001

(−0.036)

(−0.042)

(−0.012)

(−0.03)

ROA t

−0.2223***

−0.220***

− 0.2213***

−0.2222***

(−6.82)

(−6.78)

(−6.80)

(−6.81)

DIVERS t

0.0168***

0.0168***

0.0168***

0.0168***

(8.51)

(8.48)

(8.50)

(8.50)

HERF t

−0.0056

−0.0057

−0.0049

− 0.0052

(−0.26)

(− 0.26)

(− 0.22)

(−0.24)

NIND t

−0.1291***

−0.1302***

− 0.1241***

−0.1250***

(−6.08)

(−6.13)

(−5.87)

(−5.93)

NAF t

0.0573***

0.0577***

0.0569***

0.05732***

(11.06)

(11.15)

(11.02)

(11.08)

TURN t

0.3741***

0.3742***

0.3692***

0.3693***

(13.38)

(13.34)

(13.18)

(13.21)

Intercept

−1.2701***

−1.2672***

−1.3433***

−1.3362***

(−6.02)

(−6.01)

(−5.98)

(−5.91)

No. of obs.

54,730

54,730

54,730

54,730

Adjusted R 2

0.342

0.342

0.342

0.342

  1. Notes. This table reports the regression analysis of stock return comovement on domestic versus foreign institutional ownership. The sample consists of 54,730 firm–year observations drawn from 40 countries for 1997–2006. The dependent variable is Comovementt. The coefficients and the test statistics are based on the regression model in Eq. (3). The t-statistics, reported in parentheses, are based on robust standard errors corrected for firm-level clustering. Year, industry and country dummies are included. Here ***, **, and * indicate significance at the 1%, 5%, and 10% levels, respectively. All variables are defined in Appendix A
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