Table 6 Changes in institutional ownership on changes in comovement
From: Foreign institutional investors and stock return comovement
Panel A: The impact of changes in institutional ownership on changes in return comovement | ||||||
Independent variables | (1) | (2) | (3) | (4) | (5) | (6) |
∆IO_DOM t-1 | 0.0814 (1.06) | 0.0715 (0.93) | 0.0742 (0.96) |  |  |  |
∆IO_FOR t-1 | −0.2031* (−1.65) |  |  |  |  |  |
∆IO_FOR_COMMON t-1 |  | −0.0372* (−1.95) |  |  |  |  |
∆IO_FOR_CIVIL t-1 |  | 0.8032*** (3.92) |  |  |  |  |
∆IO_FOR_HASD t-1 |  |  | −0.0748* (−1.92) |  |  |  |
∆IO_FOR_LASD t-1 |  |  | 0.7962*** (3.40) |  |  |  |
∆IO_DOM_HIGH t-1 |  |  |  | −0.0602 (−0.57) | −0.0644 (−0.61) | −0.0636 (− 0.61) |
∆IO_DOM_ LOW t-1 |  |  |  | 1.3671*** (4.85) | 1.3262*** (4.70) | 1.3311*** (4.72) |
∆IO_FOR _ HIGH t-1 |  |  |  | −0.0068 (−1.06) |  |  |
∆IO_FOR_ LOW t-1 |  |  |  | 1.1691*** (5.51) |  |  |
∆IO_FOR _COMMON_ HIGH t-1 |  |  |  |  | −0.1082** (−2.00) |  |
∆IO_FOR _COMMON_ LOW t-1 |  |  |  |  | 0.6471** (2.20) |  |
∆IO_FOR _CIVIL_ HIGH t-1 |  |  |  |  | 0.4851 (1.62) |  |
∆IO_FOR _CIVIL_ LOW t-1 |  |  |  |  | 2.3092*** (4.60) |  |
∆IO_FOR _HASD_ HIGH t-1 |  |  |  |  |  | −0.0890* (−1.84) |
∆IO_FOR _HASD_ LOW t-1 |  |  |  |  |  | 0.6820** (2.48) |
∆IO_FOR _LASD_ HIGH t-1 |  |  |  |  |  | 0.4731 (1.45) |
∆IO_FOR _LASD_ LOW t-1 |  |  |  |  |  | 2.6110*** (4.49) |
No. of obs. | 43,942 | 43,942 | 43,942 | 43,942 | 43,942 | 43,942 |
Adjusted R 2 | 0.322 | 0.323 | 0.322 | 0.323 | 0.323 | 0.323 |
Panel B: The impact of changes in return comovement on changes in institutional ownership | ||||||
Dependent variable in the reverse regression | Coefficient for ∆ Comovementt-1 | No. of obs. | Adjusted R2 | |||
∆IO_TOTAL t | −0.0664 (−1.62) | 47,817 | 0.076 | |||
∆IO_DOM t | −0.0365 (−1.28) | 47,817 | 0.039 | |||
∆IO_FOR t | −0.0298 (−1.06) | 47,817 | 0.054 | |||
∆IO_FOR_COMMON t | −0.0266 (−1.12) | 47,817 | 0.051 | |||
∆IO_FOR_CIVIL t | −0.0034 (−0.26) | 47,817 | 0.017 | |||
∆IO_FOR_HASD t | −0.0272 (−1.08) | 47,817 | 0.049 | |||
∆IO_FOR_LASD t | −0.0031 (−0.29) | 47,817 | 0.016 | |||
∆IO_DOM_HIGH t-1 | 0.0034 (0.16) | 47,817 | 0.004 | |||
∆IO_DOM_ LOW t-1 | −0.0085 (−1.05) | 47,817 | 0.058 | |||
∆IO_FOR _ HIGH t-1 | 0.0158 (0.75) | 47,817 | 0.005 | |||
∆IO_FOR_ LOW t-1 | −0.0183* (−1.93) | 47,817 | 0.095 | |||
∆IO_FOR _COMMON_ HIGH t-1 | 0.0107 (0.58) | 47,817 | 0.005 | |||
∆IO_FOR _COMMON_ LOW t-1 | −0.0139* (−1.94) | 47,817 | 0.087 | |||
∆IO_FOR _CIVIL_ HIGH t-1 | 0.0051 (0.50) | 47,817 | 0.000 | |||
∆IO_FOR _CIVIL_ LOW t-1 | −0.0042 (−0.94) | 47,817 | 0.047 | |||
∆IO_FOR _HASD_ HIGH t-1 | 0.0125 (0.64) | 47,817 | 0.005 | |||
∆IO_FOR _HASD_ LOW t-1 | −0.0141* (−1.85) | 47,817 | 0.087 | |||
∆IO_FOR _LASD_ HIGH t-1 | 0.0033 (0.42) | 47,817 | 0.001 | |||
∆IO_FOR _LASD_ LOW t-1 | −0.0042 (−1.08) | 47,817 | 0.044 | |||