论文标题
机构所有权和流动性通用性：来自澳大利亚的证据
Institutional ownership and liquidity commonality: evidence from Australia
论文作者
论文摘要
我们研究了当地和外国机构投资在横截面和随着时间的流动性市场上的流动性通用性影响。我们发现，与股票的横截面相比，大型股票的流动性公共性更高，并且在过去的二十年中，两者之间的差异有所增加。我们表明，这种分歧可以通过外国机构所有权来解释。这一发现表明，外国机构投资有助于增加大型股票参加当地市场中意外流动性事件的暴露。我们发现所有股票的外国机构所有权与流动性中的共同性之间存在正相关联，尤其是在大型和中型股票中。外国机构的关联交易解释了这一关联。但是，地方机构所有权仅与大型股票的流动性中的共同点呈正相关。
We study the liquidity commonality impact of local and foreign institutional investment in the Australian equity market in the cross-section and over time. We find that commonality in liquidity is higher for large stocks compared to small stocks in the cross-section of stocks, and the spread between the two has increased over the past two decades. We show that this divergence can be explained by foreign institutional ownership. This finding suggests that foreign institutional investment contributes to an increase in the exposure of large stocks to unexpected liquidity events in the local market. We find a positive association between foreign institutional ownership and commonality in liquidity across all stocks, particularly in large and mid-cap stocks. Correlated trading by foreign institutions explains this association. However, local institutional ownership is positively related to the commonality in liquidity for large-cap stocks only.
