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How Important are Foreign Ownership Linkages for International Stock Returns?

Listed author(s):
  • Sohnke M. Bartram

    (Warwick University)

  • John Griffin

    (University of Texas at Austin)

  • David T. Ng

    (Cornell University and Hong Kong Institute for Monetary Research)

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.

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Paper provided by Hong Kong Institute for Monetary Research in its series Working Papers with number 122012.

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Length: 86 pages
Date of creation: May 2012
Handle: RePEc:hkm:wpaper:122012
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