How Important are Foreign Ownership Linkages for International Stock Returns?

61 Pages Posted: 16 Mar 2010 Last revised: 23 Dec 2019

See all articles by Söhnke M. Bartram

Söhnke M. Bartram

Warwick Business School - Department of Finance; Centre for Economic Policy Research (CEPR)

John M. Griffin

University of Texas at Austin - Department of Finance

David T. Ng

Johnson College of Business

Multiple version iconThere are 7 versions of this paper

Date Written: June 18, 2010

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 linkage is 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, co-movement

JEL Classification: G3, F4, F3

Suggested Citation

Bartram, Söhnke M. and Griffin, John M. and Ng, David T., How Important are Foreign Ownership Linkages for International Stock Returns? (June 18, 2010). WBS Finance Group Research Paper No. 138, Available at SSRN: https://ssrn.com/abstract=1571120 or http://dx.doi.org/10.2139/ssrn.1571120

Söhnke M. Bartram

Warwick Business School - Department of Finance ( email )

Coventry, CV4 7AL
United Kingdom
+44 (24) 7657 4168 (Phone)
+1 425 952 1070 (Fax)

HOME PAGE: http://go.warwick.ac.uk/sbartram/

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

John M. Griffin (Contact Author)

University of Texas at Austin - Department of Finance ( email )

Red McCombs School of Business
Austin, TX 78712
United States
512-471-6621 (Phone)

HOME PAGE: http://www.jgriffin.info

David T. Ng

Johnson College of Business ( email )

301G Warren Hall, Cornell University
Ithaca, NY 14850-1967
United States
6072550145 (Phone)

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
423
Abstract Views
2,739
rank
20,161
PlumX Metrics