|
|
|
| Foreign Ownership and Stock Liquidity |
| DENG Baijun, LI Zhongfei, LIANG Quanxi
|
Lingnan College, Sun Yat-sen University;
Sun Yat-sen Business School, Sun Yat-sen University;
Business School, Guangxi University |
|
|
|
|
Abstract We use manually collected data to analyze the impact of foreign ownership on stock liquidity. The results show that foreign ownership can significantly decrease stock liquidity. The negative effect of foreign institutional ownership is enhanced while the effect of foreign individual ownership is wakened in firms with low stock information. And this marginal effect only exist in firms with high state-own share.
|
|
Received: 12 November 2015
Published: 01 January 1900
|
|
|
|
|
| [1] |
邓柏峻、李仲飞和张浩,2014,《限购政策对房价的调控有效吗》,《统计研究》第11期,第50~57页。
|
| [2] |
雷倩华、柳建华和龚武明,2012,《机构投资者持股与流动性成本——来自中国上市公司的经验证据》,《金融研究》第7期,第182~195页。
|
| [3] |
苏冬蔚和熊家财,2013,《股票流动性、股价信息含量与CEO薪酬契约》,《经济研究》第11期,第56~70页。
|
| [4] |
孙立和林丽,2006,《QFII投资中国内地证券市场的实证分析》,《金融研究》第7期,第123~133页。
|
| [5] |
吴卫星和汪勇祥,2004,《基于搜寻的有限参与、事件风险与流动性溢价》,《经济研究》第08期,第85~93页。
|
| [6] |
Agarwal, P.. 2007. “Institutional ownership and stock liquidity”, Working paper.
|
| [7] |
Allen, F., Qian, J., Qian, M.. 2005. “Law, Finance, and Economic Growth in China” Journal of Financial Economics, 77 (1): 57~116.
|
| [8] |
Amihud, Y.. 2002. “Illiquidity and Stock Returns: Cross-section and Time-series Effects” Journal of Financial Markets, 5 (1): 31~56.
|
| [9] |
Amihud, Y., Mendelson, H.. 2008. “Liquidity, the Value of the Firm, and Corporate Finance” Journal of Applied Corporate Finance, 20 (2): 32~45.
|
| [10] |
Bacmann, J. F., Bolliger, G.. 2001. “Who are the Best? Local versus Foreign Analysts on the Latin American Stock Markets”,Working paper.
|
| [11] |
Brockman, P., Yan, X. S.. 2009. “Block Ownership and Firm-specific Information” Journal of Banking & Finance, 33 (2): 308~316.
|
| [12] |
Chen, Z., Du, J., Li, D., Ouyang, R.. 2013. “Does Foreign Institutional Ownership Increase Return Volatility? Evidence from China” Journal of Banking & Finance, 37 (2): 660~669.
|
| [13] |
Durnev, A., Morck, R., Yeung, B., Zarowin, P.. 2003. “Does Greater Firm‐specific Return Variation Mean More or Less Informed Stock Pricing?” Journal of Accounting Research, 41 (5): 797~836.
|
| [14] |
Ferreira, M. A., Matos, P.. 2008. “The Colors of Investors’ Money: The Role of Institutional Investors Around the World” Journal of Financial Economics, 88 (3): 499~533.
|
| [15] |
Goldstein, I., Razin, A.. 2006. “An Information-based Trade Off Between Foreign Direct Investment and Foreign Portfolio Investment” Journal of International Economics, 70 (1): 271~295.
|
| [16] |
Grossman S.J.and J.E.Stiglitz,1980,“On the Impossibility of Informationally Efficient Markets,” The American Economic Review,70(3),pp.393-408.
|
| [17] |
Hutton, A. P., Marcus, A. J., Tehranian, H., 2009. “Opaque Financial Reports, R2, and Crash Risk” Journal of Financial Economics, 94 (1): 67~86.
|
| [18] |
Kahn, C., Winton, A.. 1998. “Ownership Structure, Speculation, and Shareholder Intervention” The Journal of Finance, 53 (1): 99~129.
|
| [19] |
Kalev, P. S., Nguyen, A. H., Oh, N. Y.. 2008. “Foreign versus Local Investors: Who Knows More? Who Makes More?” Journal of Banking & Finance, 32 (11): 2376~2389.
|
| [20] |
Kho, B. C., Stulz, R. M., Warnock, F. E.. 2009. “Financial Globalization, Governance, and the Evolution of the Home Bias” Journal of Accounting Research, 47 (2): 597~635.
|
| [21] |
Lang, M., Lins, K. V., Maffett, M.. 2012. “Transparency, Liquidity, and Valuation: International Evidence on When Transparency Matters Most” Journal of Accounting Research, 50 (3): 729~774.
|
| [22] |
Li, D., Nguyen, Q. N., Pham, P. K., Wei, S. X.. 2011 “Large Foreign Ownership and Firm-level Stock Return Volatility in Emerging Markets” Journal of Financial and Quantitative Analysis, 46 (04): 1127~1155.
|
| [23] |
Pastor, L., Stambaugh, R. F.. 2003. “Liquidity Risk and Expected Stock Returns” Journal of Political Economy, 53(4): 642~685.
|
| [24] |
Rhee, S. G., Wang, J.. 2009. “Foreign Institutional Ownership and Stock Market Liquidity: Evidence from Indonesia” Journal of Banking & Finance, 33 (7): 1312~1324.
|
| [25] |
Stiglitz, J. E.. 2000. “Capital Market Liberalization, Economic Growth, and Instability” World Development, 28 (6): 1075~1086.
|
| [26] |
Subrahmanyam, A.. 1991. “Risk Aversion, Market Liquidity, and Price Efficiency”, Review of Financial Studies, 4 (3): 417~441.
|
| [27] |
Wei, C.. 2010. “Do Foreign Institutions Improve Stock Liquidity?” Working paper.
|
|
|
|
