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Lead-Lag Relationships and Institutional Ownership: Evidence from an Embryonic Equity Market

  • Vaalmikki Argoon
  • Spiros Bougheas
  • Chris Milner

Using daily, stock level data for the early development of the equity market of Trinidad and Tobago over the period 2001 to 2008, this paper investigates the influence of the degree of institutional ownership of stock on lead-lag, stock return relationships. Using a VAR modelling approach to identify cross autocorrelation between more and less institutionally favoured stocks and controlling for a range of other possible conditioning influences (firm size, analyst coverage and liquidity), the study finds strong evidence of institutionally owned stocks leading the returns of stocks held more by individual investors.

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Paper provided by University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM) in its series Discussion Papers with number 2013/08.

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Date of creation: 2013
Date of revision:
Handle: RePEc:not:notcfc:13/08
Contact details of provider: Postal: School of Economics University of Nottingham University Park Nottingham NG7 2RD
Phone: (44) 0115 951 5620
Fax: (0115) 951 4159
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