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How Important are Foreign Ownership Linkages for International Stock Returns?

Söhnke Bartram, John Griffin and David Ng ()
Additional contact information
John Griffin: University of Texas at Austin

No 122012, Working Papers from Hong Kong Institute for Monetary Research

Abstract: We develop a simple measure of international ownership linkages and show that this measure is of similar importance as the traditional effects coming from country and industry fundamentals. International ownership linkages are not explained by omitted country/industry variations, wealth effects or other explanations like liquidity, investment style, or fund flows. We find that ownership linkages are a summary measure of investment locale that links investor capital around the world. Beyond the level of foreign ownership, the specific ownership composition of a stock is an important facet of international equity returns - a finding which has important implications for diversification.

Keywords: Institutional Ownership; Asset Management; Portfolio Diversification; International Finance; Comovement (search for similar items in EconPapers)
JEL-codes: F3 F4 G3 (search for similar items in EconPapers)
Pages: 86 pages
Date: 2012-05
New Economics Papers: this item is included in nep-cfn, nep-fmk and nep-ifn
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Related works:
Journal Article: How Important Are Foreign Ownership Linkages for International Stock Returns? (2015) Downloads
Working Paper: How Important Are Foreign Ownership Linkages for International Stock Returns? (2010) Downloads
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