TY - JOUR
T1 - Does institutional ownership matter for international stock return comovement?
AU - Faias, José A.
AU - Ferreira, Miguel A.
PY - 2017/11
Y1 - 2017/11
N2 - We study the link between international stock return comovements and institutional investment. We test whether the rise of institutional ownership has increased cross-country correlations and decreased cross-industry correlations. Using stock-level institutional holdings across 45 countries during the 2001–2010 period, we find that industry and global factors are relatively more important the country factors in explaining stock return variation among stocks with higher institutional ownership. Industry diversification strategies are more beneficial than country diversification strategies for stocks with high institutional ownership. We show that cross-border portfolio investment is a powerful force of international capital market integration and convergence of asset prices.
AB - We study the link between international stock return comovements and institutional investment. We test whether the rise of institutional ownership has increased cross-country correlations and decreased cross-industry correlations. Using stock-level institutional holdings across 45 countries during the 2001–2010 period, we find that industry and global factors are relatively more important the country factors in explaining stock return variation among stocks with higher institutional ownership. Industry diversification strategies are more beneficial than country diversification strategies for stocks with high institutional ownership. We show that cross-border portfolio investment is a powerful force of international capital market integration and convergence of asset prices.
KW - Comovements
KW - Institutional investors
KW - International capital markets
KW - International diversification
UR - http://www.scopus.com/inward/record.url?scp=85028951839&partnerID=8YFLogxK
U2 - 10.1016/j.jimonfin.2017.08.004
DO - 10.1016/j.jimonfin.2017.08.004
M3 - Article
AN - SCOPUS:85028951839
VL - 78
SP - 64
EP - 83
JO - Journal of International Money and Finance
JF - Journal of International Money and Finance
SN - 0261-5606
ER -