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Table 4 Comovement and high versus low institutional stakeholdings

From: Foreign institutional investors and stock return comovement

 

(1)

(2)

(3)

IO_DOM_HIGH t-1

−0.2191***

− 0.2132***

− 0.2121***

(−3.32)

(−3.25)

(− 3.22)

IO_DOM_LOW t-1

1.6762***

1.5321***

1.5472***

(9.17)

(8.48)

(8.57)

IO_FOR_HIGH t-1

−0.3521***

  

(−4.64)

  

IO_FOR_LOW t-1

0.7960***

  

(6.26)

  

IO_FOR_COMMON_HIGH t-1

 

−0.3331***

 
 

(−4.08)

 

IO_ FOR_COMMON_LOW t-1

 

−0.2512

 
 

(−1.28)

 

IO_ FOR_CIVIL_HIGH t-1

 

−0.2241

 
 

(− 1.20)

 

IO_ FOR_CIVIL_LOW t-1

 

2.7762***

 
 

(9.10)

 

IO_FOR_HASD_HIGH t-1

  

−0.3291***

  

(−4.06)

IO_ FOR_HASD_LOW t-1

  

−0.1310

  

(−0.72)

IO_ FOR_LASD_HIGH t-1

  

−0.2330

  

(−1.21)

IO_ FOR_LASD_LOW t-1

  

3.1621***

  

(8.83)

SIZE t-1

0.0989***

0.1002***

0.0993***

(27.02)

(27.39)

(27.17)

Comovement t-1

0.2221***

0.2212***

0.2201***

(46.54)

(46.42)

(46.37)

MB t-1

0.0018

0.0017

0.0017

(1.33)

(1.24)

(1.269)

LEV t-1

0.1181***

0.1172***

0.1161***

(4.10)

(4.06)

(4.05)

ACCR t

−0.0001

− 0.0000

− 0.0000

(0.05)

(−0.02)

(− 0.02)

ROA t

−0.2282***

− 0.2251***

− 0.2252***

(−7.02)

(−6.94)

(−6.94)

DIVERS t

0.0167***

0.0166***

0.0165***

(8.45)

(8.42)

(8.41)

HERF t

−0.0024

−0.0012

− 0.0019

(−0.11)

(− 0.06)

(− 0.09)

NIND t

− 0.1212***

− 0.1151***

−0.1150***

(−5.77)

(−5.49)

(−5.49)

NAF t

0.0424***

0.0434***

0.0440***

(8.14)

(8.34)

(8.45)

TURN t

0.3370***

0.3341***

0.3332***

(12.00)

(11.94)

(11.91)

Intercept

−1.2191***

−1.2782***

− 1.2723***

(−6.02)

(−6.29)

(−6.26)

No. of obs.

54,730

54,730

54,730

Adjusted R 2

0.342

0.342

0.343

  1. Notes. This table reports the regression analysis of stock return comovement on institutions of high- / low- stakeholdings. The sample consists of 54,730 firm–year observations drawn from 40 countries for 1997–2006. The dependent variable is Comovementt. IO_DOM, IO_FOR, IO_FOR_COMMON, IO_FOR_CIVIL, IO_FOR_HASD and IO_FOR_CIVIL interact with HIGH or LOW. 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