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Frontiers of Business Research in China

Table 5 Comovement and institutional ownership: the role of institutional infrastructures: InvPro as a measure of investor protection

From: Foreign institutional investors and stock return comovement

 

Civil-law countries

Common-law countries

(1)

(2)

(3)

(4)

(5)

(6)

(7)

(8)

(9)

(10)

(11)

(12)

IO_DOM t-1

0.2081***

0.1892***

0.1962***

   

0.0905

0.0901

0.0908

   

(2.88)

(2.63)

(2.72)

   

(1.57)

(1.57)

(1.58)

   

IO_FOR t-1

−0.0315

     

0.0618

     

(−0.52)

     

(0.81)

     

IO_FOR_COMMON t-1

 

−0.2231***

     

−0.0576

    
 

(−3.00)

     

(−0.70)

    

IO_FOR_CIVIL t-1

 

0.5130***

     

1.159***

    
 

(3.84)

     

(4.06)

    

IO_FOR_HASD −1

  

−0.1861***

     

−0.0264

   
  

(−2.60)

     

(−0.33)

   

IO_FOR_LASD t-1

  

0.5462***

     

1.1514***

   
  

(3.57)

     

(3.79)

   

IO_DOM_HIGH t-1

   

−0.4051***

−0.3882***

− 0.3871***

   

−0.0621

−0.0556

− 0.0519

   

(−3.48)

(−3.35)

(− 3.34)

   

(−0.78)

(−0.70)

(− 0.65)

IO_DOM_ LOW t-1

   

2.1761***

2.0162***

2.0561***

   

1.2180***

1.1751***

1.1552***

   

(8.77)

(8.16)

(8.34)

   

(4.42)

(4.38)

(4.29)

IO_FOR_HIGH t-1

   

−0.1801*

     

−0.4861

  
   

(−1.91)

     

(−1.55)

  

IO_FOR_ LOW t-1

   

0.4114***

     

1.4940***

  
   

(2.68)

     

(5.09)

  

IO_FOR _COMMON_ HIGH t-1

    

−0.1630***

     

−0.4472

 
    

(−2.58)

     

(−1.29)

 

IO_FOR _COMMON_ LOW t-1

    

0.6313

     

0.3613

 
    

(1.37)

     

(0.98)

 

IO_FOR _CIVIL_ HIGH t-1

    

−0.1920

     

−0.2032

 
    

(−0.95)

     

(−0.45)

 

IO_FOR _CIVIL_ LOW t-1

    

1.9520***

     

5.7780***

 
    

(5.64)

     

(6.69)

 

IO_FOR _HASD_ HIGH t-1

     

−0.1721*

     

−0.4292

     

(−1.68)

     

(−1.19)

IO_FOR _HASD_ LOW t-1

     

−0.4712*

     

0.4821

     

(−1.90)

     

(1.41)

IO_FOR _LASD_ HIGH t-1

     

−0.1372

     

−0.4183

     

(−0.65)

     

(−0.82)

IO_FOR _LASD_ LOW t-1

     

2.1690***

     

6.9470***

     

(5.30)

     

(6.75)

No. of obs.

33,666

33,666

33,666

33,666

33,666

33,666

19,408

19,408

19,408

19,408

19,408

19,408

Adjusted R 2

0.340

0.340

0.340

0.342

0.343

0.343

0.348

0.348

0.348

0.351

0.352

0.352

  1. Notes. This table reports the regression analysis of stock return comovement on institutional ownership for non-U.S. firms located in countries with strong and weak investor protection. In columns (2) and (6), 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
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