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Frontiers of Business Research in China

Table 7 Comovement and institutional ownership: two-stage least square

From: Foreign institutional investors and stock return comovement

Independent variables

(1)

(2)

(3)

(4)

(5)

(6)

PIO_DOM t-1

1.9741***

1.8792***

1.8821***

   

(10.46)

(10.01)

(10.01)

   

PIO_FOR t-1

0.3811

     

(1.54)

     

PIO_FOR_COMMON t-1

 

−1.2772***

    
 

(−5.89)

    

PIO_FOR_CIVIL t-1

 

7.1041***

    
 

(10.56)

    

PIO_FOR_HASD t-1

  

−1.1131***

   
  

(−5.34)

   

PIO_FOR_LASD t-1

  

8.6842***

   
  

(9.98)

   

PIO_DOM_HIGH t-1

   

−29.7002***

−27.5910***

− 26.9811***

   

(−13.33)

(−12.29)

(−11.89)

PIO_DOM_ LOW t-1

   

11.0612***

10.9910***

10.8611***

   

(17.14)

(16.91)

(16.74)

PIO_FOR _ HIGH t-1

   

−0.4081***

  
   

(−4.80)

  

PIO_FOR_ LOW t-1

   

−1.5312

  
   

(−0.08)

  

PIO_FOR _COMMON_ HIGH t-1

    

−0.9721***

 
    

(−6.75)

 

PIO_FOR _COMMON_ LOW t-1

    

−4.6522*

 
    

(−1.81)

 

PIO_FOR _CIVIL_ HIGH t-1

    

4.6313***

 
    

(2.82)

 

PIO_FOR _CIVIL_ LOW t-1

    

5.8091***

 
    

(4.64)

 

PIO_FOR _HASD_ HIGH t-1

     

−0.6261***

     

(−5.15)

PIO_FOR _HASD_ LOW t-1

     

−4.4252*

     

(−1.92)

PIO_FOR _LASD_ HIGH t-1

     

3.0951*

     

(1.88)

PIO_FOR _LASD_ LOW t-1

     

7.8340***

     

(4.99)

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

  1. Notes. This table reports the two-stage least square regression analysis of stock return comovement on institutional ownership. The sample consists of 45,581 firm–year observations drawn from 40 countries for 1997–2006. The dependent variable is Comovementt. In column (2), IO_DOM, IO_FOR, IO_FOR_COMMON, IO_FOR_CIVIL, IO_FOR_HASD and IO_FOR_CIVIL interact with HIGH or LOW. 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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