Institutional Ownership and Stock Liquidity: International Evidence*

Tung Lam Dang**

Faculty of Finance, University of Economics, The University of Danang, Vietnam
Thanh Huong Nguyen
Faculty of Finance, University of Economics, The University of Danang, Vietnam; and Finance Discipline
Group, UTS Business School, University of Technology Sydney, Australia
Nguyen Tram Anh Tran
Faculty of Finance, University of Economics, The University of Danang, Vietnam
Thi Thuy Anh Vo
Faculty of Finance, University of Economics, The University of Danang, Vietnam

Abstract
This paper investigates the relation between institutional ownership and stock liquidity
and whether this relation differs across institutional settings. Using a comprehensive data
set across 41 countries from 2000 to 2010, we find that institutional ownership is
positively correlated with stock liquidity. Importantly, the positive association between
institutional ownership and stock liquidity is stronger (weaker) for firms in countries with
opaque (transparent) information environments or poor (good) institutional
characteristics. Our additional analysis reveals that the positive association between
institutional ownership and liquidity is attributable to non-block institutional investors.

Keywords Institutional ownership; stock liquidity; information asymmetry; trading effect

JEL Classification: G14, G15, G23

_____________________________
* We are grateful to Professor Hee-Joon Ahn, an associate editor, two anonymous reviewers, seminar
participants at University of Economics – The University of Danang (UE-UD), conference participants at
International Conference on Accounting and Finance 2016 (ICOAF 2016), and the members of the UE-UD
Finance Teaching and Research Team for helpful comments and suggestions. We would like to thank
Fariborz Moshirian and Bohui Zhang for sharing their data. Tung Lam Dang acknowledges financial
support from the Ministry of Education and Training, Vietnam (Grant number: KT-04) for this project. All
errors remain our own.
** Corresponding author: Tung Lam Dang, Faculty of Finance, University of Economics, The University
of Danang; 71 Ngu Hanh Son, Danang, Vietnam. Tel: +84 915 858 458. Email: dangtlam@due.edu.vn.

1
1. Introduction

Institutional ownership has been significantly increasing globally over the last few

decades. According to the International Monetary Fund (2005), institutional investors

around the world manage financial assets exceeding US$ 45 trillion, with over US$ 20

trillion in equities. Given the dramatic growth of institutional investors in global capital

markets, it is important to determine whether and how institutional ownership affects

firm value, corporate decision-making, and stock market liquidity worldwide. This study

focuses specifically on the relation between institutional ownership and stock liquidity,

an important indicator of the smooth functioning of equity markets.

Although there are several mechanisms through which stock liquidity is correlated

with ownership structure, researchers often concentrate on two hypotheses: the adverse

selection hypothesis (information effect) and the trading hypothesis (trading effect)

(Rubin, 2007). The adverse selection hypothesis suggests that the presence of informed

traders induces information asymmetry, which in turn reduces stock liquidity (Grossman

and Stiglitz, 1980; Copeland and Galai, 1983; Glosten and Milgrom, 1985; Kyle, 1985;

Easley and O’Hara, 1987, 2004). In contrast, the trading hypothesis suggests that

competition among informed traders reduces information risk, leading to improved

informational efficiency and making them more likely to trade, which helps improve

stock liquidity (Admati and Pfleiderer, 1988; Subrahmanyam, 1991; Holden and

Subrahmanyam, 1992; Foster and Viswanathan, 1996; Agarwal, 2007). In addition, when

investors trade more frequently, transaction costs are reduced, which increases stock

2
liquidity (Demsetz, 1968; Merton, 1987). 1 Given that institutional investors may have

informational advantages and tend to trade more often than other groups of investors, the

direction and magnitude of the correlation between institutional ownership and liquidity

depends on the relative importance of the informational effect or the trading effect.2 To

date, this remains an empirical question, particularly in international markets.

In this paper, we investigate whether institutional ownership is related to stock

liquidity and whether this association differs across institutional settings. We use a

comprehensive firm-level data set of institutional ownership and stock liquidity across 41

countries over the period from 2000 to 2010. This international setting is especially

interesting. It allows us to exploit the rich variation in stock liquidity and institutional

backgrounds across countries, which provides a better understanding of the relation

between institutional investors and stock liquidity and whether country-level institutional

infrastructure matters to this relation.

Our two key variables are institutional ownership and stock liquidity. We obtain

institutional holding data from the FactSet/LionShares database. Institutional ownership

is defined as the percentage of a firm’s outstanding shares held by institutional investors

in a given year. To measure the liquidity of a stock, we rely on two commonly used

proxies in the literature: percentage effective spread and Amihud’s (2002) illiquidity

measure. We also control in our analyses for a variety of firm-specific characteristics and

country-, industry-, and year-fixed effects in order to eliminate the possibility that our

1
Increased trading activity may not necessarily be due to competition among informed traders for profit.
Instead, it may be due to noise traders who trade for liquidity reasons, such as portfolio rebalancing or risk
sharing.
2
Evidence that institutional investors possess superior information includes Szewczyk et al. (1992),
Alangar et al. (1999), Bartov et al. (2000), Parrino et al. (2003), Bushee and Goodman (2007). Evidence
that institutional investors tend to trade more frequently than other investors includes Hamilton (1978),
Gompers and Metrick (2001), Rubin (2007).

3
results merely reflect omitted correlated variables.

We find that institutional ownership is positively correlated with stock liquidity. Our

results are consistent across subsamples (i.e., the global sample, developed versus

emerging markets, US versus non-US markets, and during a crisis period versus a non-

crisis period) as well as across alternative measures of stock liquidity. To mitigate the

concern that an endogenous relation between institutional ownership and stock liquidity

can drive our results, we also employ several alternative specifications, including firm-

fixed effects, controlling for the lagged dependent variable, and adopting a first-

difference approach as additional checks. The results are robust to these specifications.

This finding is consistent with the trading effect of institutional investors on stock

liquidity.

We next examine whether the positive effect of institutional investors on stock

liquidity differs across institutional and information environments. Prior research

suggests that the extent of informed trading by institutional investors is significantly

increasing in countries with greater informational opacity and weaker corporate

governance (Maffett, 2012). In such countries, less publicly available information can

motivate institutional investors to acquire private information and execute profitable

trades (Verrecchia, 1982; Diamond, 1985). To the extent that a country’s less-transparent

information environment and poor institutional infrastructure encourage the prevalence of

informed trading and that institutional investors influence liquidity through increasing the

competition among informed traders and more trading activity (i.e., the trading effect),

we should observe a greater positive association between institutional investors and stock

liquidity in countries with a lack of transparency or poor protection for investors.

4
 Consistent with this conjecture, we find that the positive relation between institutional

ownership and liquidity is stronger in countries with weak disclosure requirements, low

accounting standards, poor regulatory quality, in countries where there is likely to be

significant self-dealing, and in IFRS non-adopting countries.

Although our primary results are consistent with group-specific trading behavior

(Rubin, 2007), taking institutional investors as a homogeneous group may not be

reasonable, because institutional investors’ involvement and incentives in firms, and thus

their informational advantages and trading behaviors, are different depending on their

firm ownership stakes (Rubin, 2007; Brockman et al., 2009; Ng et al., 2016). We,

therefore, proceed to investigate which group of institutional investors drives the positive

effect on liquidity.

We divide institutional ownership into block and non-block institutional ownership,

where institutional blockholders are defined as institutional investors who own at least

5% of a firm’s outstanding shares. Given block institutions’ greater ownership stakes,

institutional blockholders have incentives to monitor firm management and are in a

position to have better access to private information. In addition, costly transactions can

make institutional blockholders trade less frequently than non-block institutions. 3

Therefore, we expect a negative association between institutional block ownership and

stock liquidity. In contrast, while non-block institutional investors are also likely to have

informational advantages, their frequent trading activity and increased competition

among these sophisticated and informed investors may help reduce transaction costs and

information asymmetry and, thus, increase stock liquidity (Admati and Pfleiderer, 1988;

Holden and Subrahmanyam, 1992; Agarwal, 2007). Consistent with our expectations, we
3
See Edmans (2014) for a comprehensive survey of the literature on blockholders.

5
find that institutional blockholdings are negatively related to stock liquidity, whereas

institutional non-blockholdings are positively associated with stock liquidity. This result

suggests that the positive liquidity effect of institutional ownership is mainly driven by

non-block institutional ownership.

We contribute to the existing literature in several ways. First, our study advances our

understanding of the relation between institutional ownership and stock liquidity in

global markets. Most prior evidence on the effects of institutional ownership on stock

liquidity focuses on a single country, mainly US markets (e.g., Heflin and Shaw, 2000;

Gaspar and Massa, 2007; Rubin, 2007; Brockman et al., 2009; Agarwal, 2007, Jiang et

al., 2011).4 Given that corporate governance mechanisms, disclosure requirements, and

trading environments are different across countries, which can affect institutional

investors’ informational advantages and trading behaviors (Ferreira and Matos, 2008;

Brockman and Chung, 2003), the liquidity effect of institutional ownership might also be

different, or even non-existent, among countries. To the best of our knowledge, Ng et al.

(2016) is the only study that examines the liquidity impact of foreign investors in an

international setting. In contrast, our paper focuses on overall institutional ownership

rather than only foreign institutional investors. Our results indicate that institutional

ownership is positively related to stock liquidity. Importantly, we show that the positive

association between institutional holdings and liquidity differs across institutional and

information environments.

Second, our study highlights the role of institutional investor heterogeneity in

influencing stock liquidity. Specifically, we differentiate between the effect of

4
Two studies in markets other than the US are Syamala et al. (2014) in India and Ree and Wang (2009) in
Indonesia.

6
institutional blockholders and non-block institutional ownership. We find that while stock

liquidity is positively related to non-block institutional ownership, it is negatively related

to block institutional ownership. The majority of prior studies focus on the impact of

either institutional investors as a homogeneous group (e.g., Agarwal, 2007; Jiang et al.,

2011) or only institutional blockholders (Heflin and Shaw, 2000; Brockman et al., 2009;

Jacoby and Zheng, 2010), with the exception of Rubin (2007). Rubin (2007) finds that

liquidity is positively related to total institutional holdings but negatively related to

institutional blockholdings; this suggests that while the level of institutional ownership

proxies for trading activity, the concentration of institutional ownership proxies for

information asymmetry. Given the potentially high correlation between total institutional

holdings and institutional blockholdings, it is unclear whether the level of institutional

ownership is an adequate proxy for the trading behaviors of institutional investors. In

addition, Rubin (2007) uses only US data, whereas we rely on a global sample of 41

countries over the period from 2000 to 2010.

In the next section, we describe our data sources and the variable construction

procedure. Section 3 presents empirical evidence of the link between institutional

ownership and stock liquidity. The conclusion of the paper is presented in section 4.

2. Data Sources, Variable Construction, and Descriptive Statistics

We collect data from a variety of sources to construct variables across 41 countries

over the period between 2000 and 2010. Specifically, institutional holding data are from

the FactSet/LionShares database; liquidity measures are estimated using intraday

transaction data from Thomson Reuters Tick History (TRTH) and daily transaction data

7
from Datastream; stock returns and other accounting data used to construct control

variables are collected from Datastream/Worldscope; data on analyst coverage are from

the Institutional Brokers’ Estimate System (I/B/E/S); proxies for country-level

institutional and information environments are drawn from the existing literature; and the

country-level adoption statuses of IFRS are from Deloitte Global Services IAS Plus’s

website.

2.1. Institutional Ownership Variables

5
Institutional holding data are from the FactSet/LionShares. Total institutional

ownership (IO) is defined as the percentage of a firm’s outstanding shares held by

institutional investors at the end of a given year. Following Ferreira and Matos (2008),

we set the missing observations of institutional ownership to zero to avoid an

unnecessary loss of information.6 In addition, we separate institutional ownership into

block institutional ownership (BIO) and non-block institutional ownership (NonBIO).

Institutional blockholders are defined as institutional investors who hold at least 5% of a

firm’s outstanding shares, whereas institutional non-blockholders are institutional

investors with less than 5% holdings. The definition of the institutional ownership

variables is provided in the Appendix.

2.2. Liquidity Proxies

We use the percentage effective spread (Illiq) and Amihud’s (2002) illiquidity measure

(Amihud) as two proxies for stock liquidity. Following previous studies (e.g., Chordia et

5
See Ferreira and Matos (2008) for a detailed discussion on the FactSet/LionShares database.
6
As a robustness check, we repeat the empirical analysis using only firms with non-missing observations of
institutional ownership. Our main results remain qualitatively unaffected.

8
al., 2000; Rubin, 2007; Brockman et al., 2009), we define the percentage effective spread

as twice the absolute value of the difference between the trading price and the midpoint

of the bid and the ask price, scaled by the midpoint of the bid and the ask price. To

estimate the percentage effective spread, we collect intraday transaction data from the

TRTH. We require a stock’s trades and quotes to have been submitted during regular

trading hours, and we exclude irregular trades and trades with negative trading prices.

Quotes with bid-ask spreads that are larger than half of their midpoint quote prices are

also deleted. The annual percentage effective spread is a simple average of the daily

dollar-volume weighted average of percentage effective spreads in a given year.

The annual Amihud (2002) illiquidity measure is defined as the average of the daily

Amihud (2002) illiquidity measure in a given year, which is calculated as the absolute

value of stock returns divided by the dollar trading volume on a given day.

A higher value of the percentage effective spread (Illiq) and Amihud’s (2002)

illiquidity measure (Amihud) for a given stock indicates that the stock is less liquid. In the

analyses, we transform liquidity measures by taking the natural logarithm of the annual

percentage effective spread and the annual Amihud (2002) illiquidity measure. The

detailed construction of liquidity measures is described in the Appendix.

2.3. Firm-specific Control Variables

Following the literature (e.g., Rubin, 2007; Ferreira and Matos, 2008; Brockman et al.,

2009; Ng et al., 2016), we control for a battery of firm-specific characteristics that can

drive the relation between institutional ownership and stock liquidity in regression

analyses. Control variables include stock turnover (Turn), which is defined as the total

9
number of shares traded in a given year, scaled by the number of shares outstanding;

book-to-market ratio (BM), which is defined as the log of the book-to-market equity ratio;

firm size (MV), which is defined as the log of market capitalization denominated in US

dollars; closely held ownership (CH), which is the fraction of shares closely held by

insiders and controlling shareholders; annual stock returns (Return), which is annual

stock returns; stock return volatility (STD), which is defined as the annualized standard

deviation of monthly stock returns; Stock price (Price), which is the log of stock price in

US dollars; Analyst coverage (Analyst), which is defined as the number of financial

analysts covering a firm; MSCI index (MSCI), which is an MSCI index member dummy

that equals 1 if the firm is included in an MSCI country index, and 0 (zero) otherwise;

and US cross-listing (ADR), which is an ADR dummy that equals 1 if the firm was cross-

listed on a US exchange, and 0 (zero) otherwise. To mitigate potential outliers, we

winsorize the variables at the 1% and 99% levels, or we exclude extreme values when

appropriate.

We include only common stocks in our sample and exclude stocks with special

features, such as American Depository Receipts (ADRs), Global Depository Receipts

(GDRs), warrants, trusts, funds, and non-equity securities. In addition, in each country,

we use only stocks from the single major exchange, except for China (Shanghai Stock

Exchange and Shenzhen Stock Exchange), Japan (Tokyo Stock Exchange and Osaka

Stock Exchange), and the US (American Stock Exchange and New York Stock

Exchange), where we use two exchanges due to their equal importance in these countries.

10
Our final sample includes 202,519 firm-year observations for 21,682 firms across 41

countries.7

2.4 Country-level Variables

Drawing from the extant literature, we use five proxies for institutional and

information environments at the country level: (1) the disclosure requirement index

(DisReq) from LaPorta et al. (2006), which measures the strength of specific disclosure

requirements in each given country; (2) the accounting standard index (Accsta) from

LaPorta et al. (1998), which assesses the detailed level and usefulness of disclosure

requirements; (3) the regulatory quality index (RQuality) from the World Bank, which

captures investors’ perceptions of a government’s ability to formulate and implement

sound policies and regulations that permit and promote private sector development; (4)

the anti-self-dealing index (AntSel), developed by Djankov et al. (2008), which measures

a market’s litigation governing self-dealing transactions; and (5) IFRS adoption at the

country level, which measures country-level accounting quality. Except for IFRS

adoption, higher values of country-level measures represent more informational

transparency and stronger protection for investors. The detailed definition of country-

level variables is provided in the Appendix.

2.5 Descriptive Statistics

Table 1 presents the average of firm-specific variables, and Table 2 reports the average

of country-level variables for each of the 41 sample countries. On average, institutional

7
The number of observations differs across model specifications due to missing data when we combine
various variables.

11
investors hold approximately 5.5% of a firm’s outstanding shares. Developed markets

have relatively higher institutional ownership (8.5%) than emerging countries (1.2%).

The highest institutional holdings are found in the US (38%), whereas Peru and

Argentina have the lowest institutional ownership, at 0.2% and 0.3%, respectively. We

find that non-block institutional ownership is significantly greater than block institutional

ownership in all countries.

There are significant variations in the two liquidity measures across firms and

countries. In general, stocks in emerging markets tend to be less liquid than those in

developed markets. We also note that developed countries tend to have better disclosure

requirements, higher accounting standards, better regulatory quality, and less self-dealing

than emerging countries.

Table 3 reports the Pearson correlation coefficients between variables used in our

analyses. As expected, our two liquidity measures are significantly correlated, with the

correlation coefficient of 0.88. Both Illiq and Amihud are negatively correlated with

institutional ownership variables, which provides some insight into the hypothesized

relation between the key variables. In general, the moderate correlation between variables

mitigates concerns related to multicollinearity in our regression analyses.

3. Empirical Results

In this section, we present empirical results on the relation between the institutional

ownership and liquidity measures. We begin by evaluating the effect of the total

institutional ownership (IO) on stock liquidity. Specifically, we perform the panel

12
regressions of our liquidity measures on the total IO variable while controlling for other

firm-specific characteristics. Our baseline regression model takes the following form:

 
, = β + β , + , + , (1)

where Stockliquidityi denotes stock liquidity, which is measured by either the percentage

effective spread (Illiq) or Amihud's illiquidity measure (Amihud). IOi is the total

institutional ownership of stock i. Controlsi is a set of firm i’s firm-specific control

variables, including stock turnover (Turn), book-to-market ratio (BM), firm size (MV),

closely held ownership (CH), annual stock returns (Return), stock return volatility (STD),

stock price (Price), analyst coverage (Analyst), MSCI index (MSCI), and US cross-listing

(ADR). All the independent variables are included in equation (1) with a one-year lag.8

We also include country-fixed, industry-fixed, and year-fixed effects and estimate this

regression by using robust standard errors to account for heteroscedasticity and clustering

standard errors at the firm level (Petersen, 2009).

3.1 Institutional Ownership and Stock Liquidity

Table 4 and Table 5 report the regression results of equation (1) for Illiq and Amihud,

respectively. To alleviate the concern that our results may be driven by the relative

proportion of firms in developed versus emerging markets, in the US versus other

countries, or during the crisis period of 2007–2008, we also divide the entire sample into

subsamples: developed versus emerging markets, US versus non-US stocks, and the crisis

8
Using the lagged independent variables in regressions helps alleviate the effect of reverse causality
between institutional investors and stock liquidity. However, we also estimate our regressions using
contemporaneous values of independent variables. The results are qualitatively similar to those reported in
this paper.

13
period versus the non-crisis period. 9 Our primary variables of interest are total

institutional ownership (IO). As shown, stock liquidity is significantly positively

correlated with institutional ownership, and the results are consistent across subsamples.

For the global sample regression in Table 4, the coefficient estimate on IO is -0.788 (t-

stat=-30.65). The results are robust when we use Amihud’s illiquidity measure as a

liquidity proxy (Table 5), with the coefficient estimate of IO for the global sample being -

0.566 (t-stat=-13.14). The magnitude of the results is also economically significant.

Taking the global sample in Table 4 as an example, a one-standard-deviation increase in

institutional ownership (15.4%) results in an approximately 12.14% (=15.4%*(-0.788))

increase in stock liquidity.

Most coefficient estimates of other firm-specific control variables are statistically

significant with signs as expected. For example, stocks with a greater intensity of trading

activity, as indicated by higher stock turnover (Turn), are more liquid. Coefficient

estimates on MV are negative and significant at the conventional 1% level, which

suggests that larger firms’ stocks are more liquid. Stock liquidity tends to be higher for

firms with more analyst coverage and for firms with fewer stocks closely held by insiders

and controlling shareholders. We also note that the R2 values from the regressions are

high, which suggests that the selected variables and fixed effects explain a considerable

portion of the variation in stock liquidity.

In summary, evidence shows that institutional ownership is significantly positively

correlated with stock liquidity. Our results are consistent with group-specific trading

behavior, as documented by Rubin (2007) for US firms.

9
Several recent studies have shown that institutional investors had a significant impact on market liquidity
during the global financial crisis of 2007–2008 (e.g., Cella et al., 2013; Aragon and Strahan, 2012).

14
3.2 Robustness Checks

In this section, we perform several robustness checks to assess whether our findings in

the previous section are reliable. The results of these analyses are presented in Table 6.

Panel A of Table 6 reports results using the percentage effective spread (Illiq), and Panel

B of Table 6 presents results using Amihud's illiquidity measure (Amihud).

First, it is likely that the relation between institutional ownership and stock liquidity is

driven by unobservable heterogeneity across firms that is time-invariant or rarely changes

over time. To mitigate this concern, we incorporate firm-fixed effects into equation (1).

As shown in columns (1) and (5) of Table 6, the coefficient estimates of IO remain

negative and statistically significant at the conventional 1% level even after controlling

for firm-fixed effects. Specifically, the coefficient estimates of the institutional ownership

variable are -0.944 (t-stat=-28.00) and -1.267 (t-stat=-19.91) for the percentage effective

spread and Amihud's illiquidity measure, respectively.

Second, in addition to the firm-fixed effect specification, we regress the first-difference

in stock liquidity on the one-year lag of the first-difference in institutional ownership and

control variables. This regression, on the one hand, addresses the endogenous concern

that time-invariant and unobservable firm-specific characteristics can drive the liquidity

effect of institutional investors. On the other hand, it allows us to take into account the

time-series covariation between the variables. As shown, the coefficient estimates of IO

are significantly negative (Columns (2) and (6)). Specifically, the coefficient estimates of

IO for the percentage effective spread and Amihud's illiquidity measure are -0.022 (t-

15
stat=-1.90) and -0.501 (t-stat=-16.61), respectively. These results confirm that

institutional ownership is positively associated with stock liquidity.

Third, an endogenous relation between institutional ownership and stock liquidity

might exist if institutional investors self-select to trade stocks with high liquidity and if

stock liquidity in the previous period is highly correlated with stock liquidity in the

current period. To address this issue, we repeat equation (1) including the lagged liquidity

variable as a control variable. Again, the results remain consistent with those in the

primary analysis (Columns (3) and (7)). The coefficient estimates of IO for the

percentage effective spread and Amihud's illiquidity measure are -0.173 (t-stat=-17.07)

and -0.172 (t-stat=-8.45), respectively.

Finally, in constructing the institutional ownership variables, we follow prior research

and set missing observations to zero. To eliminate the concern that our main results may

be driven by these observations, we re-estimate our baseline regression using the sample

with only non-missing observations of institutional ownership (Columns (4) and (8)). As

shown, the results remain valid.

In summary, these robustness checks confirm that our results are less likely to be

driven by omitted correlated variables or endogenous relationships. The results suggest

that institutional ownership has a meaningful association with stock liquidity. These

findings are also consistent with the trading effect of institutional investors on liquidity.

However, drawing causal inference is difficult. Therefore, one should be cautious when

interpreting these results.

16
3.3 Country-level Institutional Characteristics and the Relation between Institutional

Ownership and Liquidity

This section investigates whether the positive association between institutional

ownership and liquidity differs across institutional settings. Specifically, we examine

whether investor protection and information environments at the country level matter to

the relation between institutional holdings and stock liquidity.

Country-level institutional characteristics are likely to influence trading environments

and thus impact the relation between institutional holdings and liquidity. Specifically,

prior research shows that the extent of informed trading by institutional investors is

significantly higher in countries with less informational transparency and poor corporate

governance (Maffett, 2012). In such countries, less public disclosure can motivate

institutional investors to acquire private information and profitably exploit such

information (Verrecchia, 1982; Diamond, 1985). To the extent that a country’s greater

informational opacity and weaker institutional infrastructure encourage the prevalence of

informed trading and that institutional investors influence liquidity through increasing the

competition among informed traders and more trading activity, we expect a greater

positive correlation between institutional investors and stock liquidity in countries with a

lack of transparency or poor protection for investors.

To test this prediction, we divide our sample into the two subsamples of countries

based on the median value of each institutional characteristic variable across all sample

countries in each year. Institutional characteristics include the disclosure requirement

index (DisReq), the accounting standard index (Accsta), the regulatory quality index

(RQuality), and the anti-self-dealing index (AntSel). We also form the two subsamples of

17
countries based on whether a country adopts IFRS in a given year. We run the regression

as specified in equation (1) of stock liquidity on the institutional ownership variable (IO)

for each subsample and present the results in Table 7. Panel A of Table 7 reports the

results using the percentage effective spread (Illiq), and Panel B of Table 7 presents the

results using Amihud's illiquidity measure (Amihud).

As expected, the results of Table 7 show that institutional ownership is more positively

associated with stock liquidity in countries with weak disclosure requirements, low

accounting standards, poor regulatory quality, and in countries where there is likely to be

significant self-dealing, regardless of whether the percentage effective spread (Illiq) or

Amihud's illiquidity measure (Amihud) is used as a liquidity proxy. We also find that the

positive relation between institutional ownership and liquidity is stronger in IFRS non-

adopting countries when liquidity is measured by the percentage effective spread (Illiq).

In summary, the overall evidence shows that the positive association between

institutional ownership and stock liquidity is more pronounced in countries with a less-

transparent information environment and weaker protection for investors.

3.4. What Type of Institutional Investor Drives the Positive Effect on Stock Liquidity?

In this section, we investigate which institutional ownership group drives the positive

effect on liquidity documented in the previous section.

We divide institutional ownership into block and non-block institutional ownership.

Institutional blockholders are defined as institutional investors who own at least 5% of a

firm’s outstanding shares, whereas institutional non-blockholders are institutional

investors with less than 5% holdings. Given block institutional investors’ greater

18
ownership stakes, institutional blockholders have incentives and are able to bear the cost

of monitoring firm management (Edmans, 2014). This provides institutional blockholders

with better access to private information. In addition, due to institutional investors’

blockholding size being significantly large, stock transactions might be costly. Therefore,

institutional blockholders tend to trade their shares less frequently. These combined

effects result in a negative impact on stock liquidity by block institutional ownership.

In contrast, while non-block institutional investors are also likely to have informational

advantages, their frequent trading activity and increased competition among these

informed investors help reduce transaction costs and information asymmetry in the

market and, thus, improve stock liquidity (Admati and Pfleiderer, 1988; Holden and

Subrahmanyam, 1992; Agarwal, 2007).

We investigate these hypotheses by substituting the total institutional ownership (IO)

with block institutional ownership (BIO) and non-block institutional ownership (NonBIO)

in equation (1). Specifically, the regression model is as follows:

 
, = β + β , + β , + , + , (2)

where BIOi denotes block institutional ownership of stock i, and NonBIOi is non-block

institutional ownership of stock i. All other variables are identical to those in equation

(1).

In Table 8, we present regression results for the percentage effective spread in Panel A

(Illiq) and those for Amihud's illiquidity measure in Panel B (Amihud). Consistent with

our expectation, we find that block institutional ownership is negatively related to stock

liquidity, whereas non-block institutional ownership is positively associated with stock

liquidity. Specifically, the coefficient estimates of BIO are positive and statistically

19
significant across most subsamples, and the coefficient estimates of NonBIO are

significantly negative for all subsamples. The results are robust to alternative measures of

stock liquidity.

Overall, these results suggest that the positive effect of institutional ownership on stock

liquidity is attributable to non-block institutional investors. The negative effect of block

institutional ownership on stock liquidity is also consistent with previous studies (e.g.,

Heflin and Shaw, 2000; Rubin, 2007; Brockman et al., 2009).

4. Conclusion

In this paper, we investigate whether and how institutional ownership is related to

stock liquidity around the world, and whether this association differs across institutional

settings. Using the comprehensive data set across 41 countries from 2000 to 2010, we

document the following key results:

First, we find that institutional ownership is positively correlated with stock liquidity.

Our results are robust to the alternative measures of stock liquidity (i.e., the percentage

effective spread or Amihud's illiquidity measure), in subsamples, and when controlling

for various firm-specific characteristics and fixed effects that may drive the relation

between institutional ownership and stock liquidity. Second, we find a pronounced

positive correlation between institutional investors and stock liquidity for firms in

countries with weak disclosure requirements, low accounting standards, poor regulatory

quality, high self-dealing possibility, and for firms in IFRS non-adopting countries. Prior

studies (e.g., Brockman and Chung, 2003; Eleswarapu and Venkataraman, 2006; Chung

et al., 2012) show that stock markets are less liquid in countries with informational

20
opacity and inferior regulatory environments with regard to investor protection. Our

results suggest that institutional investors can play an important role in reducing stock

illiquidity in such environments. Finally, our additional analysis suggests that the positive

association between institutional ownership and stock liquidity is attributable to non-

block institutional ownership. Specifically, while block institutional ownership is

negatively related to stock liquidity, non-block institutional ownership is positively

associated with stock liquidity.

Our results are, however, subject to several limitations. First, our inferences are based

on the association between institutional ownership and stock liquidity rather than

causality. Although we attempt to perform several analyses to mitigate endogeneity,

reverse causality remains possible. Due to the difficulty of establishing empirical

causality, our results should be interpreted with caution. Second, using a universal

benchmark of 5% holding for classifying an institutional investor as a blockholder or a

non-blockholder may be inappropriate in this cross-country setting. However, due to data

limitations, we are unable to identify the individual holdings of each institutional investor

in a firm to set a threshold that is appropriate for each country. Instead, we rely on the

threshold level of 5% provided by the FactSet/LionShares database. With these

limitations in mind, further research may be required should additional data become

available.

21
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26
 Appendix. Variable definitions
Variables Acronym Description Data sources
A. Firm-level variables
(i). Institutional ownership
Total institutional ownership IO The total institutional ownership as the percentage of shares outstanding. FactSet/LionShares
Block institutional ownership BIO The block institutional ownership as the percentage of shares outstanding, in which block refers to holding above 5% of total FactSet/ LionShares
shares.
Non-block institutional ownership NonBIO The non-block institutional ownership as the percentage of shares outstanding, in which non-block refers to holding less than FactSet/ LionShares
5%.
(ii) Liquidity measures
Percentage effective spread Illiq Log of the average of daily percentage effective spread in a given year. We first calculate the intraday percentage effective TRTH
spread as twice the absolute value of the difference between the trading price and the midpoint of the bid and ask price,
divided by the midpoint of the bid and ask price. The daily percentage effective spread is then estimated as the dollar-volume
weighted average of intraday spread measures in a given day.
Amihud’s (2002) illiquidity Amihud Log of the average of the daily Amihud (2002) illiquidity measure in a given year, in which the daily Amihud illiquidity Datastream
measure is calculated as the absolute value of stock returns divided by the dollar trading volume on a given day.
(iii) Other variables
Stock trading turnover Turn Total number of shares traded in a given year, scaled by the number of shares outstanding Datastream
MSCI index MSCI An MSCI index member dummy that equals one if the firm is included in an MSCI country index. Worldscope
Book-to-market ratio BM Log of book-to-market equity ratio. Worldscope
Firm size MV Log of market capitalization denominated in US dollars. Worldscope
Closely held ownership CH Fraction of shares closely held by insiders and controlling shareholders. Worldscope
US cross-listing ADR An ADR dummy that equals one if the firm was cross-listed on a US exchange. Worldscope
Annual stock returns Return Annual stock returns. Datastream
Stock return volatility STD Annualized standard deviation of monthly stock returns. Datastream
Stock price Price Log of stock price in US dollars. Datastream
Analyst coverage Analyst Number of financial analysts covering a firm. I/B/E/S
B. Country-level variables
Disclosure requirement index DisReq Average score of six disclosure subindexes: prospectus delivering, insider compensations, large shareholder ownership, LaPorta et al. (2006)
insider ownership, contracts outside the normal course of business, and related parties transactions; all these subindexes are
dummy variables, and for each subindex, the value of one is assigned to the index if it signifies high-quality disclosure and 0
otherwise.
Accounting standard index Accsta The index was created by examining and rating companies' 1990 annual reports on their inclusion or omission of 90 specific LaPorta et al. (1998)
accounting items, covering general information, income statements, balance sheets, funds flow statements, accounting
standards, stock data, and special items.
Regulatory quality index RQuality Investors’ perceptions of the government’s ability to formulate and implement sound policies and regulations that permit and Kaufmann, Kraay, and Mastruzzi (2009)
promote private sector development.
Anti-self-dealing index AntSel The index measuring a market’s litigation governing self-dealing transactions. Djankov et al. (2008)
IFRS adoption at the country level IFRSyear The year a country adopts IFRS. (http://
www.iasplus.com/country/useias.htm)

27
 Table 1: Summary statistics of firm-specific variables
This table reports the mean value of firm-specific variables for each of the 41 countries in the sample. Variables include percentage effective spread (Illiq),
Amihud's illiquidity measure (Amihud), total institutional ownership (IO), block institutional ownership (BIO), non-block institutional ownership (NonBIO),
stock turnover (Turn), book-to-market ratio (BM), firm size (MV), closely held ownership (CH), annual stock returns (Return), stock return volatility (STD), stock
price (Price), analyst coverage (Analyst), MSCI index (MSCI), and US cross-listing (ADR). Definitions of the variables are given in the Appendix. DEV, EMG,
and GLB denote the developed, emerging, and global markets, respectively. The sample period is from 2000 to 2010.

Panel A: Developed mark ets

Country No.firms No.firm-years Illiq Amihud IO BIO NonBIO Turn MV BM Return STD Price CH Analyst MSCI ADR
Australia 1,474 12,106 -3.578 1.415 0.011 0.002 0.009 0.567 10.247 -0.640 -0.043 0.687 -1.413 0.190 0.953 0.176 0.010
Austria 54 516 -4.765 -1.155 0.042 0.002 0.040 0.289 12.536 -0.337 0.005 0.351 3.185 0.285 2.060 0.495 0.007
Belgium 128 1,326 -4.707 -0.689 0.035 0.006 0.029 0.187 12.247 -0.415 -0.011 0.336 3.733 0.222 2.212 0.313 0.007
Canada 833 7,826 -4.107 0.365 0.071 0.017 0.054 0.535 11.448 -0.579 0.009 0.617 0.576 0.071 1.858 0.284 0.100
Denmark 167 1,327 -4.132 -0.500 0.051 0.020 0.032 0.363 11.413 -0.357 -0.004 0.371 3.274 0.173 1.924 0.302 0.012
Ireland 39 418 -3.878 -0.075 0.083 0.014 0.068 0.381 12.621 -0.671 -0.039 0.470 0.781 0.228 2.827 0.548 0.133
Finland 124 1,157 -4.428 -0.536 0.093 0.015 0.078 0.471 11.957 -0.594 0.052 0.370 1.862 0.230 4.849 0.432 0.026
France 643 6,832 -4.600 0.336 0.032 0.004 0.027 0.300 11.593 -0.619 0.002 0.487 2.934 0.267 2.412 0.235 0.023
Germany 612 7,071 -3.902 1.462 0.036 0.004 0.032 0.241 11.488 -0.555 -0.156 0.564 1.856 0.206 2.526 0.078 0.016
Hong Kong 856 8,176 -3.862 0.136 0.022 0.002 0.020 0.691 11.344 -0.104 0.013 0.679 -2.431 0.441 1.855 0.425 0.009
Italy 216 2,330 -4.920 -2.648 0.029 0.001 0.028 0.741 12.827 -0.510 -0.025 0.350 1.410 0.296 3.579 0.566 0.026
Japan 2,507 26,187 -5.082 -2.358 0.031 0.001 0.029 0.762 12.301 -0.105 0.001 0.385 1.986 0.256 2.091 0.574 0.011
Netherlands 119 1,269 -4.985 -1.957 0.089 0.020 0.070 0.842 12.704 -0.693 -0.032 0.384 2.356 0.244 7.107 0.547 0.121
Norway 158 1,534 -4.008 -0.511 0.052 0.012 0.041 0.819 11.716 -0.369 0.006 0.443 1.384 0.167 2.378 0.357 0.016
New Zealand 115 876 -4.007 1.092 0.013 0.002 0.011 0.203 10.944 -0.552 0.011 0.434 -0.492 0.190 1.730 0.224 0.027
Singapore 578 5,223 -3.537 0.918 0.013 0.001 0.012 0.660 11.022 -0.181 0.012 0.519 -1.582 0.318 1.362 0.211 0.003
Spain 116 1,105 -5.694 -3.501 0.046 0.001 0.045 0.723 13.470 -0.697 0.029 0.312 2.377 0.323 7.181 0.748 0.038
Sweden 256 3,062 -4.180 -0.160 0.066 0.013 0.053 0.706 11.307 -0.753 -0.039 0.518 0.971 0.110 1.972 0.270 0.016
Switzerland 215 1,473 -4.587 -2.146 0.074 0.011 0.063 0.404 12.763 -0.513 0.039 0.325 4.910 0.319 3.918 0.535 0.034
United Kingdom 1,650 13,112 -3.625 -0.304 0.068 0.015 0.053 0.659 11.300 -0.642 -0.112 0.488 -0.042 0.235 1.773 0.264 0.021
United States 2,048 17,128 -5.900 -4.714 0.380 0.104 0.279 1.634 13.627 -0.744 0.008 0.417 2.768 0.183 5.430 0.693 0.000

28
 Table 1: Summary statistics of firm-specific variables (Cont.)
Panel B: Emerging markets
Country No.firms No.firm-years Illiq Amihud IO BIO NonBIO Turn MV BM Return STD Price CH Analyst MSCI ADR
Argentina 71 625 -4.007 1.042 0.003 0.000 0.003 0.156 11.323 0.155 -0.024 0.480 -0.099 0.183 1.422 0.402 0.145
Brazil 71 708 -3.917 -0.328 0.025 0.003 0.022 0.318 12.769 -0.665 0.147 0.638 1.589 0.231 1.217 0.663 0.022
China 1,458 13,954 -5.695 -4.368 0.009 0.002 0.007 2.428 12.639 -1.058 0.109 0.461 0.062 0.107 0.367 0.772 0.004
Chile 91 749 -3.943 0.395 0.006 0.002 0.004 0.138 12.406 -0.277 0.150 0.349 -0.617 0.417 0.778 0.552 0.130
Egypt 154 1,340 -4.090 0.153 0.003 0.000 0.003 0.779 11.632 -0.532 0.102 0.550 1.389 0.047 0.243 0.335 0.000
Greece 261 2,748 -4.123 -0.416 0.011 0.001 0.010 0.688 11.400 -0.508 -0.067 0.542 1.273 0.121 1.653 0.341 0.008
Indonesia 247 2,639 -3.382 3.203 0.010 0.001 0.008 0.424 10.388 -0.065 0.061 0.671 -2.976 0.471 1.214 0.313 0.005
India 2,059 19,152 -3.972 1.602 0.010 0.001 0.009 0.462 10.411 -0.224 0.122 0.668 -0.325 0.138 0.465 0.154 0.004
Israel 485 3,862 -3.557 1.918 0.005 0.001 0.004 0.247 10.884 -0.321 0.012 0.500 0.434 0.057 0.138 0.145 0.049
South Korea 689 5,526 -4.765 -2.266 0.019 0.003 0.016 3.342 11.159 0.377 0.019 0.617 1.760 0.161 1.123 0.447 0.009
Mexico 79 705 -4.275 0.434 0.025 0.002 0.023 0.212 12.960 -0.146 0.066 0.388 -0.091 0.118 2.949 0.544 0.206
Malaysia 887 8,843 -3.821 1.566 0.007 0.000 0.006 0.506 10.571 0.058 -0.010 0.442 -1.312 0.314 1.319 0.235 0.000
Peru 65 451 -3.372 1.561 0.002 0.000 0.002 0.204 11.510 -0.032 0.189 0.525 -0.595 0.152 0.463 0.263 0.024
Poland 242 2,387 -4.260 0.653 0.043 0.009 0.034 0.722 10.996 -0.486 0.033 0.575 1.206 0.145 0.536 0.240 0.003
Philippines 171 1,467 -3.333 3.083 0.011 0.002 0.009 0.298 10.372 0.146 0.039 0.636 -3.292 0.556 1.427 0.339 0.010
Russia 166 1,004 -3.612 1.316 0.008 0.001 0.007 0.155 13.171 -0.111 0.097 0.745 -0.408 0.162 0.838 0.264 0.014
South Africa 232 2,746 -3.677 1.836 0.028 0.001 0.027 0.295 11.001 -0.442 0.010 0.542 -0.886 0.195 1.362 0.305 0.019
Thailand 419 3,797 -4.109 1.069 0.013 0.001 0.011 1.147 10.588 -0.074 0.080 0.481 -1.404 0.329 1.748 0.309 0.000
Turkey 254 2,796 -4.506 -1.825 0.016 0.001 0.015 3.550 11.302 -0.348 0.073 0.692 1.096 0.363 2.254 0.387 0.003
Taiwan 673 6,966 -5.068 -2.926 0.016 0.001 0.015 2.189 11.934 -0.188 0.017 0.496 -0.731 0.142 1.298 0.589 0.009

DEV 12,908 120,054 -4.501 -1.032 0.085 0.020 0.066 0.743 11.903 -0.464 -0.024 0.490 1.089 0.230 2.520 0.381 0.020
EMG 8,774 82,465 -4.368 -0.377 0.012 0.002 0.011 1.295 11.293 -0.275 0.057 0.549 -0.236 0.187 0.887 0.365 0.012
GLB 21,682 202,519
GLB (Mean) -4.447 -0.785 0.055 0.012 0.043 0.950 11.682 -0.396 0.007 0.512 0.588 0.213 1.853 0.375 0.017
GLB (Std. Dev) 1.250 3.737 0.154 0.054 0.118 1.691 2.185 0.977 0.702 0.469 2.404 0.283 4.308 0.484 0.128

29
 Table 2: Summary statistics of country-level variables
This table reports the mean value of country-level variables for each of the 41 countries in the sample.
Variables include disclosure requirement index (DisReq), accounting standard index (Accsta), regulatory
quality index (RQuality), anti-self-dealing index (AntSel), and the year a country adopts IFRS (IFRSyear).
Definitions of the variables are given in the Appendix. DEV, EMG, and GLB denote the developed,
emerging, and global markets, respectively. The sample period is from 2000 to 2010.

Panel A: Developed markets

Country DisReq AccSta RQuality AntSel IFRSyear
Australia 0.750 75.000 1.698 0.760 2005
Austria 0.250 54.000 1.610 0.210 2005
Belgium 0.417 61.000 1.400 0.540 2005
Canada 0.917 74.000 1.605 0.640
Denmark 0.583 62.000 1.760 0.460 2005
Ireland 0.667 1.957 0.790 2005
Finland 0.500 77.000 1.765 0.460 2005
France 0.750 69.000 1.173 0.380 2005
Germany 0.417 62.000 1.475 0.280 2005
Hong Kong 0.917 69.000 1.924 0.960 2005
Italy 0.667 62.000 1.046 0.420 2005
Japan 0.750 65.000 1.216 0.500
Netherlands 0.500 64.000 1.739 0.200 2005
Norway 0.583 74.000 1.171 0.420 2005
New Zealand 0.667 70.000 1.710 0.950
Singapore 1.000 78.000 1.818 1.000
Spain 0.500 64.000 1.275 0.370 2005
Sweden 0.583 83.000 1.589 0.330 2005
Switzerland 0.667 68.000 1.596 0.270 2005
United Kingdom 0.833 78.000 1.867 0.950 2005
United States 1.000 71.000 1.678 0.650

30
 Table 2: Summary statistics of country-level variables (Cont.)
Panel B: Emerging mark ets
Country DisReq AccSta RQuality AntSel IFRSyear
Argentina 0.500 45.000 -0.535 0.340
Brazil 0.250 54.000 0.253 0.270
China -0.382 0.760
Chile 0.583 52.000 1.529 0.630 2009
Egypt 0.500 24.000 -0.384 0.200
Greece 0.333 55.000 0.794 0.220 2005
Indonesia 0.500 -0.372 0.650
India 0.917 57.000 -0.218 0.580
Israel 0.667 64.000 1.122 0.730
South Korea 0.750 62.000 0.493 0.470
Mexico 0.583 60.000 0.472 0.170
Malaysia 0.917 76.000 0.241 0.950
Peru 0.333 38.000 0.254 0.450
Poland 0.681 0.290 2005
Philippines 0.833 65.000 -0.069 0.220 2005
Russia -0.736 0.440
South Africa 0.833 70.000 0.800 0.810 2005
Thailand 0.917 64.000 0.350 0.810
Turkey 0.500 51.000 0.115 0.430 2006
Taiwan 0.750 65.000 1.060 0.560

DEV 0.779 70.847 1.572 0.636

EMG 0.773 61.007 0.161 0.614
GLB (Mean) 0.777 67.483 0.999 0.627
GLB (Std.dev) 0.174 8.570 0.854 0.220

31
 Table 3: Pearson correlation coefficients
This table presents Pearson correlation coefficients among variables used in the analyses of this paper. Variables include percentage effective spread (Illiq),
Amihud's illiquidity measure (Amihud), total institutional ownership (IO), block institutional ownership (BIO), non-block institutional ownership (NonBIO),
stock turnover (Turn), book-to-market ratio (BM), firm size (MV), closely held ownership (CH), annual stock returns (Return), stock return volatility (STD), stock
price (Price), analyst coverage (Analyst), MSCI index (MSCI), US cross-listing (ADR), disclosure requirement index (DisReq), accounting standard index
(Accsta), regulatory quality index (RQuality), and anti-self-dealing index (AntSel). Definitions of the variables are given in the Appendix. The sample period is
from 2000 to 2010.

Variable Illiq Amihud IO BIO NonBIO Turn MV BM Return STD Price CH Analyst MSCI ADR RQuality AntSel AccSta DisReq
Illiq 1.000
Amihud 0.881 1.000
IO -0.443 -0.433 1.000
BIO -0.223 -0.219 0.782 1.000
NonBIO -0.477 -0.469 0.960 0.580 1.000
Turn -0.286 -0.347 0.162 0.104 0.168 1.000
MV -0.747 -0.830 0.436 0.190 0.483 0.126 1.000
BM 0.220 0.261 -0.137 -0.054 -0.153 -0.105 -0.343 1.000
Return -0.173 -0.191 -0.001 -0.021 0.007 0.060 0.159 -0.205 1.000
STD 0.274 0.244 -0.090 -0.037 -0.101 0.143 -0.286 -0.035 0.091 1.000
Price -0.563 -0.545 0.336 0.198 0.350 0.042 0.578 -0.236 0.206 -0.240 1.000
CH 0.017 0.017 0.022 0.036 0.013 -0.150 0.032 0.030 0.032 -0.007 -0.003 1.000
Analyst -0.461 -0.525 0.442 0.183 0.495 0.088 0.647 -0.166 0.008 -0.110 0.341 0.114 1.000
MSCI -0.596 -0.640 0.317 0.161 0.343 0.182 0.643 -0.135 0.072 -0.120 0.301 0.126 0.401 1.000
ADR -0.104 -0.133 0.056 0.011 0.068 -0.007 0.206 -0.051 0.003 -0.020 0.079 0.007 0.250 0.114 1.000
RQuality 0.031 -0.026 0.238 0.173 0.234 -0.104 0.072 -0.040 -0.070 -0.032 0.145 0.070 0.162 -0.015 0.041 1.000
AntSel 0.152 0.062 0.008 0.021 0.001 0.006 -0.113 -0.020 -0.005 0.029 -0.426 0.068 -0.065 -0.027 -0.031 0.175 1.000
AccSta 0.069 0.018 0.139 0.108 0.132 -0.064 -0.033 -0.105 -0.045 -0.018 -0.139 0.051 0.065 -0.016 0.006 0.611 0.571 1.000
DisReq -0.082 -0.119 0.231 0.197 0.214 0.071 0.029 0.009 0.022 0.012 -0.157 0.005 0.021 0.037 -0.035 0.028 0.621 0.366 1.000

32
 Table 4: Institutional ownership and stock liquidity (the percentage effective spread)
This table reports the panel regression of stock liquidity on institutional ownership. The regression model is
as follows:

 
, = β + β , + , + , (1)
Stockliquidityi denotes stock liquidity as measured by the percentage effective spread (Illiq). IOi is the total
institutional ownership of stock i. Controlsi is a set of firm i’s firm-specific control variables, including
stock turnover (Turn), book-to-market ratio (BM), firm size (MV), closely held ownership (CH), annual
stock returns (Return), stock return volatility (STD), stock price (Price), analyst coverage (Analyst), MSCI
index (MSCI), and US cross-listing (ADR). All the independent variables are included in regression (1) with
a one-year lag. Nobs is the number of observations; Adj. R2 is the adjusted R2 value. Country-fixed,
industry-fixed and year-fixed effects are included (not reported). The t-statistics shown in parentheses are
based on standard errors that are adjusted for heteroscedasticity and firm-level clustering. Superscripts *,
**, and *** denote the significance levels of 10%, 5%, and 1%, respectively. The sample covers stocks
across 41 countries, and the sample period is from 2000 to 2010 (from 1999 to 2009 for the lagged
variables). Definitions of the variables are given in the Appendix.

All DEV EMG US NUS CRS NCRS

VARIABLES (1) (2) (3) (4) (5) (6) (7)

IO -0.788*** -0.708*** -0.580*** -0.161*** -0.990*** -0.727*** -0.786***

(-30.65) (-26.30) (-9.01) (-5.37) (-25.20) (-20.28) (-29.06)
Turn -0.076*** -0.083*** -0.066*** -0.088*** -0.075*** -0.072*** -0.078***
(-46.37) (-23.89) (-36.44) (-11.16) (-44.84) (-27.51) (-44.96)
MV -0.263*** -0.264*** -0.259*** -0.329*** -0.249*** -0.253*** -0.266***
(-86.34) (-68.18) (-50.44) (-34.05) (-78.55) (-56.74) (-85.74)
BM -0.071*** -0.057*** -0.069*** -0.053*** -0.075*** -0.070*** -0.072***
(-22.40) (-15.22) (-12.12) (-6.25) (-22.70) (-13.33) (-22.15)
Return -0.131*** -0.168*** -0.084*** -0.047*** -0.135*** -0.164*** -0.140***
(-41.59) (-41.67) (-16.48) (-3.16) (-42.38) (-20.93) (-41.57)
STD 0.164*** 0.220*** 0.057*** 0.374*** 0.146*** 0.192*** 0.150***
(23.33) (21.34) (6.19) (6.20) (21.48) (12.05) (20.36)
Price -0.092*** -0.108*** -0.033*** -0.242*** -0.088*** -0.066*** -0.099***
(-32.18) (-30.21) (-6.57) (-10.26) (-30.69) (-17.31) (-33.69)
CH 0.169*** 0.197*** 0.082*** 0.356*** 0.115*** 0.185*** 0.163***
(16.44) (14.26) (5.56) (10.39) (10.94) (11.69) (15.36)
Analyst -0.013*** -0.012*** -0.007*** 0.006*** -0.014*** -0.018*** -0.012***
(-14.45) (-11.92) (-4.28) (4.07) (-14.06) (-12.81) (-13.32)
MSCI -0.257*** -0.310*** -0.204*** -0.483*** -0.251*** -0.314*** -0.240***
(-33.01) (-29.59) (-18.36) (-17.02) (-31.44) (-29.22) (-30.32)
ADR 0.009 0.072** -0.145*** -0.018 -0.007 0.015
(0.32) (2.30) (-2.86) (-0.65) (-0.18) (0.56)

Fixed effects CIY CIY CIY IY CIY CIY CIY

Nobs 157,627 101,113 56,514 14,386 143,241 34,198 123,429
Adj R2 80.7% 83.1% 76.6% 89.8% 77.1% 81.7% 80.8%

33
 Table 5: Institutional ownership and stock liquidity (Amihud's illiquidity measure)
This table reports the panel regression of stock liquidity on institutional ownership. The regression model is
as follows:

 
, = β + β , + , + , (1)
where Stockliquidityi denotes stock liquidity as measured by Amihud's illiquidity measure (Amihud). IOi is
the total institutional ownership of stock i. Controlsi is a set of firm i’s firm-specific control variables,
including stock turnover (Turn), book-to-market ratio (BM), firm size (MV), closely held ownership (CH),
annual stock returns (Return), stock return volatility (STD), stock price (Price), analyst coverage (Analyst),
MSCI index (MSCI), and US cross-listing (ADR). All the independent variables are included in regression
(1) with a one-year lag. Nobs is the number of observations; Adj. R2 is the adjusted R2 value. Country-
fixed, industry-fixed and year-fixed effects are included (not reported). The t-statistics shown in
parentheses are based on standard errors that are adjusted for heteroscedasticity and firm-level clustering.
Superscripts *, **, and *** denote the significance levels of 10%, 5%, and 1%, respectively. The sample
covers stocks across 41 countries, and the sample period is from 2000 to 2010 (from 1999 to 2009 for the
lagged variables). Definitions of the variables are given in the Appendix.

All DEV EMG US NUS CRS NCRS

VARIABLES (1) (2) (3) (4) (5) (6) (7)

IO -0.566*** -0.209*** -3.113*** -0.099** -1.458*** -0.672*** -0.475***

(-13.14) (-4.89) (-16.16) (-2.15) (-17.51) (-10.48) (-10.47)
Turn -0.318*** -0.398*** -0.292*** -0.255*** -0.334*** -0.284*** -0.331***
(-71.89) (-39.84) (-58.49) (-20.91) (-69.53) (-41.48) (-65.82)
MV -0.982*** -0.973*** -0.988*** -1.143*** -0.951*** -0.967*** -0.981***
(-140.61) (-125.93) (-70.37) (-75.71) (-127.64) (-96.40) (-134.02)
BM -0.144*** -0.087*** -0.262*** -0.031** -0.159*** -0.112*** -0.155***
(-17.26) (-10.94) (-13.87) (-2.13) (-18.12) (-9.14) (-17.30)
Return -0.363*** -0.439*** -0.264*** -0.163*** -0.372*** -0.412*** -0.375***
(-46.02) (-48.18) (-16.96) (-6.98) (-45.22) (-20.50) (-44.20)
STD 0.064*** 0.163*** -0.082*** 0.317*** 0.032** 0.234*** 0.019
(4.43) (9.12) (-2.90) (5.41) (2.11) (7.68) (1.17)
Price -0.108*** -0.123*** -0.059*** -0.250*** -0.100*** -0.032*** -0.125***
(-19.38) (-21.67) (-4.24) (-9.74) (-17.41) (-4.22) (-21.19)
CH 0.678*** 0.819*** 0.413*** 1.249*** 0.592*** 0.637*** 0.693***
(29.89) (30.90) (10.05) (20.05) (24.83) (18.26) (29.51)
Analyst -0.067*** -0.058*** -0.087*** 0.007*** -0.081*** -0.077*** -0.066***
(-34.11) (-28.11) (-19.77) (2.95) (-35.81) (-25.36) (-33.23)
MSCI -0.928*** -1.053*** -0.673*** -0.761*** -0.919*** -1.135*** -0.879***
(-48.76) (-46.76) (-20.83) (-15.08) (-46.06) (-41.94) (-45.33)
ADR -0.239*** -0.187*** -0.290** -0.169*** -0.255*** -0.228***
(-4.70) (-4.07) (-2.29) (-3.27) (-3.60) (-4.43)

Fixed effects CIY CIY CIY IY CIY CIY CIY

Nobs 174,842 113,450 61,392 17,689 157,153 36,547 138,295
Adj R2 86.4% 89.2% 82.1% 93.8% 83.8% 87.1% 86.4%

34
 Table 6: Institutional ownership and stock liquidity (Robustness checks)
This table reports the panel regression of stock liquidity on institutional ownership. The regression model is
as follows:

 
, = β + β , + , + , (1)
where Stockliquidityi denotes stock liquidity as measured by either the percentage effective spread (Panel
A) or Amihud's illiquidity measure (Panel B). IOi is the total institutional ownership of stock i. Controlsi is
a set of firm i’s firm-specific control variables, including stock turnover (Turn), book-to-market ratio (BM),
firm size (MV), closely held ownership (CH), annual stock returns (Return), stock return volatility (STD),
stock price (Price), analyst coverage (Analyst), MSCI index (MSCI), and US cross-listing (ADR). All the
independent variables are included in regression (1) with a one-year lag. Columns (1) and (5) report
regression results with firm-fixed effects; Columns (2) and (6) report regression results using a first-
difference approach; Columns (3) and (7) report regression results that include the lagged dependent
variable as a control variable; Columns (4) and (8) report regression results using the sample with only non-
missing observations of institutional ownership. Nobs is the number of observations; Adj. R2 is the
adjusted R2 value. Country-fixed, industry-fixed and year-fixed effects are included where appropriate (not
reported). The t-statistics shown in parentheses are based on standard errors that are adjusted for
heteroscedasticity and firm-level clustering. Superscripts *, **, and *** denote the significance levels of
10%, 5%, and 1%, respectively. The sample covers stocks across 41 countries, and the sample period is
from 2000 to 2010 (from 1999 to 2009 for the lagged variables). Definitions of the variables are given in
the Appendix.

Panel A: Illiq Panel B: Amihud

Fixedeff Diff LagDep NMissIO Fixedeff Diff LagDep NMissIO
VARIABLES (1) (2) (3) (4) (5) (6) (7) (8)

IO -0.944*** -0.022* -0.173*** -0.978*** -1.267*** -0.501*** -0.172*** -0.658***

(-28.00) (-1.90) (-17.07) (-35.24) (-19.91) (-16.61) (-8.45) (-12.54)
Turn -0.041*** -0.045*** -0.005*** -0.073*** -0.179*** -0.230*** -0.024*** -0.335***
(-31.24) (-40.39) (-6.43) (-26.85) (-46.96) (-54.44) (-10.38) (-46.84)
MV -0.149*** -0.177*** -0.052*** -0.251*** -0.613*** -0.618*** -0.228*** -1.016***
(-30.20) (-53.17) (-34.07) (-64.13) (-49.40) (-66.59) (-50.40) (-118.41)
BM -0.054*** -0.053*** -0.028*** -0.059*** -0.142*** -0.131*** -0.077*** -0.102***
(-12.44) (-17.20) (-19.49) (-13.80) (-13.42) (-16.61) (-19.92) (-9.94)
Return -0.069*** 0.090*** -0.168*** -0.141*** -0.292*** 0.210*** -0.498*** -0.354***
(-22.49) (38.07) (-77.25) (-35.02) (-37.07) (31.67) (-82.66) (-35.81)
STD 0.026*** 0.076*** -0.020*** 0.248*** -0.079*** 0.231*** -0.165*** 0.017
(4.70) (18.56) (-5.08) (20.49) (-5.50) (18.60) (-13.31) (0.74)
Price -0.153*** -0.169*** -0.020*** -0.080*** -0.310*** -0.441*** -0.015*** -0.054***
(-31.47) (-44.14) (-18.69) (-21.37) (-25.88) (-42.62) (-6.25) (-8.26)
CH 0.146*** 0.014** 0.045*** 0.183*** 0.351*** 0.131*** 0.179*** 0.798***
(12.55) (2.01) (10.23) (13.66) (13.62) (8.30) (17.26) (27.33)
Analyst -0.013*** -0.015*** -0.004*** -0.013*** -0.037*** -0.039*** -0.022*** -0.055***
(-12.18) (-22.15) (-13.79) (-13.33) (-18.01) (-25.52) (-30.38) (-25.96)
MSCI -0.097*** -0.299*** -0.415*** -0.959***
(-33.58) (-31.02) (-52.01) (-41.38)
ADR -0.114*** -0.012 0.032 -0.256*** -0.089*** -0.198***
(-2.74) (-1.36) (1.11) (-2.98) (-4.63) (-3.85)
Lagged liquidity 0.791*** 0.738***
(207.30) (227.70)

Fixed effects FY CIY CIY CIY FY CIY CIY CIY

Nobs 158,208 145,109 149,286 97,681 174,926 168,296 174,744 101,950
Adj R2 89.8% 33.5% 91.4% 79.4% 92.4% 44.7% 92.3% 86.5%

35
 Table 7: Institutional ownership, stock liquidity, and country-level institutional characteristics
This table reports the panel regression of stock liquidity on institutional ownership for the subsamples that
are formed based on the median value of each institutional characteristic variable across all sample
countries in each year. Institutional characteristics include disclosure requirement index (DisReq),
accounting standard index (Accsta), regulatory quality index (RQuality), and anti-self-dealing index
(AntSel). The regression is also run for the subsamples of countries that are formed based on whether a
country adopts IFRS in a given year. The regression model is as follows:

 
, = β + β , + , + , (1)
where Stockliquidityi denotes stock liquidity as measured by either the percentage effective spread (Panel
A) or Amihud's illiquidity measure (Panel B). IOi is the total institutional ownership of stock i. Controlsi is
a set of firm i’s firm-specific control variables, including stock turnover (Turn), book-to-market ratio (BM),
firm size (MV), closely held ownership (CH), annual stock returns (Return), stock return volatility (STD),
stock price (Price), analyst coverage (Analyst), MSCI index (MSCI), and US cross-listing (ADR). All the
independent variables are included in regression (1) with a one-year lag. Nobs is the number of
observations; Adj. R2 is the adjusted R2 value. Country-fixed, industry-fixed and year-fixed effects are
included (not reported). The t-statistics shown in parentheses are based on standard errors that are adjusted
for heteroscedasticity and firm-level clustering. Superscripts *, **, and *** denote the significance levels
of 10%, 5%, and 1%, respectively. The sample covers stocks across 41 countries, and the sample period is
from 2000 to 2010 (from 1999 to 2009 for the lagged variables). Definitions of the variables are given in
the Appendix.

Panel A: Illiq
DisReq AccSta RQuality AntSel IFRS
Low High Low High Low High Low High NonAdopting Adopting
VARIABLES (1) (2) (3) (4) (5) (6) (7) (8) (9) (10)

IO -0.889*** -0.721*** -0.961*** -0.705*** -0.797*** -0.692*** -0.890*** -0.747*** -0.788*** -0.505***
(-14.98) (-26.30) (-15.38) (-26.30) (-13.70) (-25.52) (-13.05) (-28.01) (-27.20) (-10.34)
TV -0.072*** -0.082*** -0.065*** -0.077*** -0.068*** -0.081*** -0.076*** -0.074*** -0.070*** -0.098***
(-26.40) (-37.78) (-32.82) (-27.72) (-39.35) (-23.86) (-13.10) (-46.34) (-42.97) (-18.19)
MV -0.238*** -0.276*** -0.251*** -0.269*** -0.249*** -0.265*** -0.208*** -0.283*** -0.277*** -0.226***
(-37.01) (-80.17) (-45.74) (-73.53) (-60.49) (-66.17) (-29.47) (-88.31) (-81.72) (-41.44)
BM -0.035*** -0.080*** -0.057*** -0.067*** -0.075*** -0.053*** -0.033*** -0.083*** -0.082*** -0.044***
(-5.59) (-21.52) (-10.14) (-17.75) (-15.74) (-13.61) (-4.64) (-23.98) (-22.16) (-8.43)
Return -0.055*** -0.162*** -0.086*** -0.165*** -0.072*** -0.158*** -0.084*** -0.140*** -0.120*** -0.135***
(-8.33) (-44.59) (-15.72) (-42.14) (-16.51) (-37.82) (-11.32) (-40.23) (-33.62) (-22.58)
STD 0.098*** 0.186*** 0.048*** 0.205*** 0.067*** 0.196*** 0.110*** 0.170*** 0.163*** 0.110***
(8.32) (21.12) (5.12) (21.31) (7.72) (19.28) (7.71) (21.38) (20.44) (9.00)
Price -0.052*** -0.100*** -0.018*** -0.112*** -0.047*** -0.118*** -0.048*** -0.101*** -0.083*** -0.124***
(-9.23) (-29.96) (-3.63) (-31.72) (-13.39) (-33.21) (-8.54) (-30.27) (-25.67) (-26.07)
CH 0.123*** 0.155*** 0.101*** 0.182*** 0.041*** 0.232*** 0.136*** 0.139*** 0.141*** 0.281***
(6.42) (12.89) (6.07) (14.34) (3.29) (15.73) (6.16) (12.48) (12.35) (15.48)
Analyst -0.019*** -0.009*** -0.018*** -0.008*** -0.014*** -0.011*** -0.027*** -0.009*** -0.007*** -0.035***
(-9.88) (-9.46) (-10.35) (-8.14) (-10.71) (-10.37) (-14.24) (-8.81) (-7.43) (-18.94)
MSCI -0.129*** -0.291*** -0.125*** -0.322*** -0.208*** -0.326*** -0.140*** -0.270*** -0.237*** -0.301***
(-8.76) (-32.14) (-9.44) (-34.24) (-22.50) (-29.38) (-7.66) (-32.28) (-28.16) (-21.76)
ADR -0.052 0.036 -0.144*** 0.088*** 0.012 0.019 0.052 0.007 -0.034 0.264***
(-1.16) (1.04) (-3.32) (2.58) (0.26) (0.66) (1.08) (0.20) (-1.13) (5.84)

Low - High -0.168*** -0.256*** -0.105* -0.143**

[p-value] [0.010] [0.000] [0.098] [0.049]
NonAdopting - Adopting -0.283***
[p-value] [0.000]

Fixed effects CIY CIY CIY CIY CIY CIY CIY CIY CIY CIY
Nobs 44,258 113,369 51,081 106,546 74,374 83,253 33,710 123,917 121,763 35,864
Adj R2 74.4% 83.0% 72.2% 84.1% 75.7% 84.0% 64.9% 83.9% 80.9% 78.0%

36
 Table 7: Institutional ownership, stock liquidity, and country-level institutional characteristics
(Cont.)
Panel B: Amihud
DisReq AccSta RQuality AntSel IFRS
Low High Low High Low High Low High NonAdopting Adopting
VARIABLES (1) (2) (3) (4) (5) (6) (7) (8) (9) (10)

IO -1.871*** -0.307*** -2.203*** -0.247*** -2.820*** -0.273*** -1.783*** -0.415*** -0.593*** -0.604***
(-13.64) (-7.04) (-13.84) (-5.83) (-18.02) (-6.37) (-11.99) (-9.62) (-13.00) (-5.34)
TV -0.320*** -0.333*** -0.281*** -0.362*** -0.301*** -0.375*** -0.432*** -0.301*** -0.297*** -0.492***
(-45.14) (-58.09) (-52.26) (-46.04) (-61.66) (-38.30) (-23.73) (-67.79) (-67.51) (-26.29)
MV -0.888*** -1.031*** -0.908*** -1.016*** -0.967*** -0.972*** -0.825*** -1.038*** -1.001*** -0.862***
(-55.63) (-139.53) (-65.92) (-132.42) (-87.34) (-118.56) (-47.31) (-150.36) (-132.16) (-67.49)
BM -0.162*** -0.122*** -0.190*** -0.102*** -0.213*** -0.090*** -0.116*** -0.152*** -0.161*** -0.111***
(-7.80) (-14.80) (-10.39) (-12.45) (-13.79) (-10.84) (-4.99) (-18.80) (-16.27) (-9.12)
Return -0.073*** -0.474*** -0.174*** -0.474*** -0.275*** -0.413*** -0.159*** -0.414*** -0.335*** -0.413***
(-4.10) (-53.76) (-11.60) (-51.92) (-21.78) (-42.25) (-8.10) (-48.75) (-37.77) (-25.21)
STD -0.062** 0.109*** -0.162*** 0.155*** -0.076*** 0.154*** 0.073** 0.047*** 0.053*** 0.145***
(-2.05) (6.47) (-5.70) (8.72) (-2.95) (8.43) (2.40) (2.85) (3.14) (5.29)
Price -0.102*** -0.101*** -0.032** -0.123*** -0.048*** -0.138*** -0.084*** -0.116*** -0.100*** -0.128***
(-7.44) (-17.10) (-2.40) (-20.97) (-5.25) (-21.37) (-5.72) (-19.85) (-16.41) (-12.06)
CH 0.655*** 0.600*** 0.515*** 0.685*** 0.322*** 0.939*** 0.674*** 0.577*** 0.595*** 0.852***
(15.31) (22.34) (13.03) (25.16) (9.64) (33.23) (15.28) (22.21) (23.75) (21.01)
Analyst -0.077*** -0.058*** -0.078*** -0.056*** -0.085*** -0.055*** -0.085*** -0.060*** -0.064*** -0.096***
(-17.82) (-29.50) (-19.58) (-27.74) (-25.85) (-25.29) (-19.39) (-29.81) (-31.10) (-23.53)
MSCI -0.836*** -0.916*** -0.783*** -0.976*** -0.789*** -1.033*** -0.958*** -0.872*** -0.841*** -1.282***
(-23.06) (-42.27) (-23.11) (-44.66) (-30.13) (-42.92) (-22.95) (-42.48) (-41.72) (-34.79)
ADR -0.291*** -0.229*** -0.212** -0.249*** -0.172* -0.226*** -0.210* -0.240*** -0.245*** 0.046
(-2.84) (-4.79) (-1.99) (-5.16) (-1.67) (-4.35) (-1.91) (-4.53) (-4.57) (0.48)

Low - High -1.564*** -1.956*** -2.547*** -1.368***

[p-value] [0.000] [0.000] [0.000] [0.000]
NonAdopting - Adopting 0.011
[p-value] [0.9272]

Fixed effects CIY CIY CIY CIY CIY CIY CIY CIY CIY CIY
Nobs 48,619 126,223 56,353 118,489 80,470 94,372 37,621 137,221 139,679 35,163
Adj R2 84.4% 87.6% 81.6% 88.9% 83.1% 89.4% 82.1% 87.5% 87.0% 83.1%

37
 Table 8: Institutional investor heterogeneity and stock liquidity
This table reports the panel regression of stock liquidity on institutional ownership. The regression model is as follows:

 
, = β + β , + β , + , + , (2)
where Stockliquidityi denotes stock liquidity as measured by either the percentage effective spread (Panel A) or Amihud's illiquidity measure (Panel B). BIOi
denotes block institutional ownership of stock i, and NonBIOi is non-block institutional ownership of stock i. Controlsi is a set of firm i’s firm-specific control
variables, including stock turnover (Turn), book-to-market ratio (BM), firm size (MV), closely held ownership (CH), annual stock returns (Return), stock return
volatility (STD), stock price (Price), analyst coverage (Analyst), MSCI index (MSCI), and US cross-listing (ADR). All the independent variables are included in
regression (2) with a one-year lag. Nobs is the number of observations; Adj. R2 is the adjusted R2 value. Country-fixed, industry-fixed and year-fixed effects are
included (not reported). The t-statistics shown in parentheses are based on standard errors that are adjusted for heteroscedasticity and firm-level clustering.
Superscripts *, **, and *** denote the significance levels of 10%, 5%, and 1%, respectively. The sample covers stocks across 41 countries, and the sample period
is from 2000 to 2010 (from 1999 to 2009 for the lagged variables). Definitions of the variables are given in the Appendix.

38
 Panel A: Illiq Panel B: Amihud
All DEV EMG US NUS CRS NCRS All DEV EMG US NUS CRS NCRS
VARIABLES (1) (2) (3) (4) (5) (6) (7) (1) (2) (3) (4) (5) (6) (7)

BIO 0.138*** 0.116** 0.070 0.055 0.240*** 0.208*** 0.105** 0.648*** 0.567*** 0.600 0.101 1.519*** 0.514*** 0.643***
(3.07) (2.57) (0.41) (0.80) (3.18) (3.40) (2.17) (8.45) (7.48) (1.28) (1.08) (9.17) (4.32) (7.87)
NonBIO -1.188*** -1.090*** -0.745*** -0.286*** -1.421*** -1.134*** -1.174*** -1.098*** -0.568*** -4.082*** -0.212*** -2.535*** -1.199*** -0.967***
(-36.87) (-31.35) (-9.77) (-6.70) (-29.95) (-25.06) (-34.40) (-19.98) (-10.43) (-17.86) (-3.49) (-24.84) (-14.59) (-16.61)
Turn -0.075*** -0.079*** -0.066*** -0.085*** -0.074*** -0.071*** -0.077*** -0.317*** -0.395*** -0.292*** -0.253*** -0.333*** -0.283*** -0.329***
(-46.18) (-23.27) (-36.44) (-11.00) (-44.75) (-27.37) (-44.76) (-71.84) (-39.71) (-58.49) (-20.77) (-69.59) (-41.48) (-65.74)
MV -0.258*** -0.258*** -0.258*** -0.324*** -0.245*** -0.247*** -0.261*** -0.975*** -0.968*** -0.983*** -1.139*** -0.943*** -0.960*** -0.976***
(-84.32) (-66.63) (-50.10) (-33.08) (-77.34) (-55.27) (-83.87) (-138.47) (-124.20) (-69.84) (-74.36) (-126.33) (-95.02) (-132.14)
BM -0.072*** -0.058*** -0.069*** -0.055*** -0.075*** -0.070*** -0.073*** -0.145*** -0.088*** -0.262*** -0.032** -0.159*** -0.112*** -0.155***
(-22.68) (-15.62) (-12.12) (-6.42) (-22.79) (-13.40) (-22.41) (-17.38) (-11.10) (-13.90) (-2.25) (-18.20) (-9.18) (-17.41)
Return -0.130*** -0.166*** -0.085*** -0.041*** -0.136*** -0.162*** -0.139*** -0.362*** -0.437*** -0.264*** -0.158*** -0.373*** -0.408*** -0.374***
(-41.72) (-41.66) (-16.51) (-2.88) (-42.71) (-20.79) (-41.59) (-46.01) (-48.11) (-17.00) (-6.86) (-45.46) (-20.36) (-44.15)
STD 0.163*** 0.216*** 0.057*** 0.364*** 0.146*** 0.191*** 0.148*** 0.063*** 0.160*** -0.083*** 0.312*** 0.034** 0.231*** 0.018
(23.26) (21.18) (6.19) (6.13) (21.60) (12.05) (20.30) (4.31) (8.97) (-2.92) (5.35) (2.24) (7.62) (1.09)
Price -0.092*** -0.108*** -0.032*** -0.244*** -0.087*** -0.065*** -0.099*** -0.108*** -0.123*** -0.058*** -0.252*** -0.099*** -0.032*** -0.125***
(-32.32) (-30.48) (-6.53) (-10.46) (-30.69) (-17.34) (-33.85) (-19.37) (-21.73) (-4.18) (-9.89) (-17.20) (-4.21) (-21.20)
CH 0.144*** 0.164*** 0.080*** 0.317*** 0.103*** 0.155*** 0.140*** 0.647*** 0.790*** 0.406*** 1.212*** 0.571*** 0.600*** 0.666***
(14.04) (11.88) (5.45) (10.09) (9.78) (9.73) (13.22) (28.34) (29.57) (9.90) (19.50) (23.95) (16.99) (28.18)
Analyst -0.011*** -0.011*** -0.006*** 0.006*** -0.013*** -0.015*** -0.010*** -0.064*** -0.056*** -0.085*** 0.007*** -0.078*** -0.072*** -0.064***
(-12.34) (-10.29) (-4.02) (4.44) (-12.47) (-10.55) (-11.45) (-33.09) (-27.51) (-19.36) (3.18) (-34.72) (-24.03) (-32.41)
MSCI -0.253*** -0.304*** -0.203*** -0.481*** -0.244*** -0.305*** -0.238*** -0.924*** -1.049*** -0.669*** -0.759*** -0.904*** -1.127*** -0.877***
(-32.73) (-29.26) (-18.29) (-16.93) (-30.82) (-28.70) (-30.14) (-48.61) (-46.62) (-20.73) (-15.04) (-45.47) (-41.73) (-45.24)
ADR -0.004 0.054* -0.146*** -0.022 -0.021 0.003 -0.258*** -0.207*** -0.295** -0.180*** -0.273*** -0.245***
(-0.13) (1.74) (-2.87) (-0.83) (-0.57) (0.12) (-5.11) (-4.52) (-2.34) (-3.50) (-3.89) (-4.78)

Fixed effects CIY CIY CIY IY CIY CIY CIY CIY CIY CIY IY CIY CIY CIY
Nobs 157,627 101,113 56,514 14,386 143,241 34,198 123,429 174,842 113,450 61,392 17,689 157,153 36,547 138,295
Adj R2 80.8% 83.3% 76.6% 89.9% 77.2% 81.9% 80.9% 86.5% 89.2% 82.2% 93.8% 83.9% 87.1% 86.4%

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