Skip to main content
Frontiers of Business Research in China

Table 8 Comovement and residual institutional ownership

From: Foreign institutional investors and stock return comovement

Independent variables

(1)

(2)

(3)

(4)

(5)

(6)

RIO_DOM t-1

0.0415

0.0329

0.0365

   

(0.82)

(0.66)

(0.73)

   

RIO_FOR t-1

−0.0149

     

(− 0.27)

     

RIO_FOR_COMMON t-1

 

−0.1813***

    
 

(−2.79)

    

RIO_FOR_CIVIL t-1

 

0.6061***

    
 

(4.48)

    

RIO_FOR_HASD t-1

  

−0.1411**

   
  

(−2.27)

   

RIO_FOR_LASD t-1

  

0.6052***

   
  

(3.91)

   

RIO_DOM_HIGH t-1

   

−0.2303***

−0.2221***

− 0.2212***

   

(−3.04)

(−2.96)

(− 2.94)

RIO_DOM_ LOW t-1

   

1.0791***

0.9440***

0.9611***

   

(5.67)

(4.99)

(5.09)

RIO_FOR _ HIGH t-1

   

−0.3072***

  
   

(−3.26)

  

RIO_FOR_ LOW t-1

   

0.6911***

  
   

(4.79)

  

RIO_FOR _COMMON_ HIGH t-1

    

−0.2970***

 
    

(−2.85)

 

RIO_FOR _COMMON_ LOW t-1

    

−0.2841

 
    

(−1.28)

 

RIO_FOR _CIVIL_ HIGH t-1

    

−0.1861

 
    

(−0.90)

 

RIO_FOR _CIVIL_ LOW t-1

    

2.422–***

 
    

(7.58)

 

RIO_FOR _HASD_ HIGH t-1

     

−0.2831***

     

(−2.77)

RIO_FOR _HASD_ LOW t-1

     

−0.1622

     

(−0.79)

RIO_FOR _LASD_ HIGH t-1

     

−0.2360

     

(− 1.06)

RIO_FOR _LASD_ LOW t-1

     

2.7260***

     

(7.29)

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 regression analysis of stock return comovement on residual institutional ownership. The sample consists of 43,942 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 are interacted 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
Back to article page