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Frontiers of Business Research in China

Table 9 Additional test: potential monitoring institutional investors

From: Foreign institutional investors and stock return comovement

 

(1)

(2)

(3)

(4)

(5)

(6)

IO_DOM_ Pension t-1

−0.4091

−0.4102

    

(−1.06)

(−1.06)

    

IO_FOR_ Pension t-1

0.8352

     

(0.59)

     

IO_FOR_COMMON_Pension t-1

 

0.9004

    
 

(0.59)

    

IO_FOR_CIVIL_Pension t-1

 

0.4143

    
 

(0.10)

    

IO_DOM_Mutual t-1

  

0.1810*

0.1821*

  
  

(1.90)

(1.92)

  

IO_FOR_Mutual t-1

  

−0.0002

   
  

(−0.00)

   

IO_FOR_COMMON_Mutual t-1

   

−0.1602

  
   

(−1.34)

  

IO_FOR_CIVIL_Mutual t-1

   

0.1941

  
   

(1.51)

  

IO_DOM_LongTerm t-1

    

−0.0028

−0.0028

    

(− 0.94)

(− 0.96)

IO_DOM_ShortTerm t-1

    

−0.0026

−0.0026

    

(−1.24)

(−1.25)

IO_FOR_LongTerm t-1

    

−0.0731

 
    

(−0.72)

 

IO_FOR_ShortTerm t-1

    

0.1083

 
    

(0.81)

 

IO_FOR_COMMON_LongTerm t-1

     

−0.1452

     

(−1.20)

IO_FOR_COMMON_ShortTerm t-1

     

−1.0673***

     

(−2.84)

IO_FOR_CIVIL_LongTerm t-1

     

0.0997

     

(0.48)

IO_ FOR_CIVIL_ShortTerm t-1

     

0.3271**

     

(2.39)

No. of obs.

54,730

54,730

54,730

54,730

54,730

54,730

Adjusted R 2

0.342

0.342

0.342

0.342

0.342

0.342

  1. Notes. This table reports the regression analysis of stock return comovement on potential monitoring institutions. The sample consists of 54,730 firm–year observations drawn from 40 countries for 1997–2006. The dependent variable is Comovementt. 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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