JOURNAL OF CORPORATE FINANCE, VOLUME 51，AUGUST 2018
世界各地的外国机构所有权和流动性共性
作者：Baijun Deng (Tsinghua University)
Zhongfei Li (Sun Yat-sen University)
Yong Li (University of International Business and Economics)
摘要：本文研究了2000年至2014年间39个国家的外国机构所有权与股票流动性共性之间的关系。我们的研究结果显示，外国机构所有权与全球股票流动性共性之间存在显著的负相关关系。企业透明度是外国机构投资者减少流动性共性的关键机制。独立的以及美国的外国机构投资者对降低股票流动性共性具有更大的影响。此外，外国机构所有权与股票流动性共性之间存在U形关系。其次，本文提供证据表明，外国机构投资者减轻了当地文化的影响，增大了经济政策不确定性的影响，并取代了国家公司治理水平的作用。最后，显而易见的是，股票流动性共性调节了外国机构所有权与企业估值之间的关系。外国机构投资者可以通过股票流动性共性和股票非流动性来提高公司的估值水平。
关键词：国外机构所有权，流动性共性，国际金融
Foreign Institutional Ownership and Liquidity Commonality Around the World
Baijun Deng (Tsinghua University), Zhongfei Li (Sun Yat-sen University), Yong Li (University of International Business and Economics)
ABSTRACT
In this study, we identify the relation between foreign institutional ownership and stock liquidity commonality in 39 countries from 2000 to 2014. Our results show a negative and robust linkage between foreign institutional ownership and global stock liquidity commonality. Corporate transparency is a key mechanism through which foreign institutional investors can reduce stock liquidity commonality. Independent and U.S.-based foreign institutional investors have a greater effect on reducing stock liquidity commonality. Additionally, there is a U-shaped relation between foreign institutional ownership and stock liquidity commonality. Next, we provide evidence that foreign institutional investors mitigate the effects of local culture, exaggerate the impacts of economic policy uncertainty, and substitute the role of a country's corporate governance level. Finally, it is evident that stock liquidity commonality mediates the relation between foreign institutional ownership and firm valuation. Foreign institutional investors can enhance firm valuation through stock liquidity commonality and stock illiquidity.
Keywords: Foreign Institutional Ownership, Liquidity Commonality, International Finance
原文链接：
https://www.sciencedirect.com/science/article/pii/S0929119917307009#!
翻译：王秭越
