کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
973591 1479861 2014 27 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The demand-side explanation for commonality in liquidity: The role of institutional ownership in the Taiwan Stock Exchange
ترجمه فارسی عنوان
توضیح تقاضا برای مشترکیت در نقدینگی: نقش مالکیت نهادی در بورس اوراق بهادار تایوان
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی


• Liquidity commonality is positively related to institutional ownership in Taiwan.
• The positive relation is more pronounced during market declines.
• Securities dealer ownership is the dominant driver of liquidity commonality.
• Ownership by QFII or dealer has stronger impacts on commonality in large stocks.
• Ownership by mutual fund has a stronger effect on commonality in small stocks.

In a sample of the Taiwan Stock Exchange (TWSE), this paper documents that stocks with greater liquidity commonality are related to higher aggregate ownership by qualified foreign institutional investors (QFIIs), mutual funds, and securities dealers. This positive ownership–commonality relation is more pronounced during market declines. Decomposing data for each of the three institutions reveals that ownership by securities dealers overshadows ownership by QFIIs or mutual funds in driving liquidity commonality on the TWSE. Moreover, the positive relation between commonality and ownership by QFIIs or securities dealers is stronger for large-cap stocks, whereas the positive effect of mutual fund ownership on commonality is more evident among small-cap stocks. These findings endorse the size effect, habitat-based explanations, and style-based explanations of liquidity commonality. Overall, this study bolsters demand-side explanations of commonality on the TWSE by finding that correlated trading among institutions generates co-movement in liquidity.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Pacific-Basin Finance Journal - Volume 29, September 2014, Pages 59–85
نویسندگان
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