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Firm headquarters location, ownership structure, and stock return co-movements

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  • Li, Donghui
  • Liao, Li
  • Luo, Yuanhang
  • Zhang, Xueyong

Abstract

This paper investigates the link between firm headquarters location and its stock return co-movements in a full sample of Chinese listed firms from 1999 to 2007. The empirical results show a significant stock return co-movement pattern for firms located in the same province. And both firm-level factors, such as firm size and ownership structure, and provincial-level factors, including GDP per capita and the number of firms in a province, are found to be influential to this pattern. Moreover, results from a subsample of firms listed in the Shenzhen Stock Exchange show a reduction of local co-movement when firms have better information quality.

Suggested Citation

  • Li, Donghui & Liao, Li & Luo, Yuanhang & Zhang, Xueyong, 2014. "Firm headquarters location, ownership structure, and stock return co-movements," Pacific-Basin Finance Journal, Elsevier, vol. 30(C), pages 158-172.
    • Handle: RePEc:eee:pacfin:v:30:y:2014:i:c:p:158-172
    DOI: 10.1016/j.pacfin.2014.08.002
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    2. Michael Firth & Shihe Fu & Liwei Shan, 2017. "Do agglomeration economies affect the local comovement of stock returns? Evidence from China," Urban Studies, Urban Studies Journal Limited, vol. 54(5), pages 1142-1161, April.

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    More about this item

    Keywords

    Local co-movements; Ownership Structure; Emerging markets;
    All these keywords.

    JEL classification:

    • G30 - Financial Economics - - Corporate Finance and Governance - - - General
    • G38 - Financial Economics - - Corporate Finance and Governance - - - Government Policy and Regulation

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