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Lead-lag relationships in an embryonic stock market: exploring the role of institutional ownership and liquidity

Arjoon, Vaalmikki; Bougheas, Spiros; Milner, Chris

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Authors

Vaalmikki Arjoon

Chris Milner



Abstract

This paper investigates the influence of institutional ownership and liquidity on stock return relationships for an embryonic and relatively illiquid stock market. Using daily, individual stock data for Trinidad and Tobago from 2001 to 2015 and a VAR modelling approach, we find for firms of all sizes and levels of analyst coverage that the returns of more institutionally favoured stocks lead those with less institutional ownership. Distinctively, greater institutional coverage is shown not to be associated with greater liquidity, though liquidity levels do condition the influence of institutional ownership. This indicates that institutional owners have information advantages relative to other stock owners.

Citation

Arjoon, V., Bougheas, S., & Milner, C. (2016). Lead-lag relationships in an embryonic stock market: exploring the role of institutional ownership and liquidity. Research in International Business and Finance, 38, https://doi.org/10.1016/j.ribaf.2016.04.012

Journal Article Type Article
Acceptance Date Apr 25, 2016
Online Publication Date Apr 30, 2016
Publication Date Sep 1, 2016
Deposit Date May 17, 2016
Publicly Available Date May 17, 2016
Journal Research in International Business and Finance
Print ISSN 0275-5319
Electronic ISSN 0275-5319
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 38
DOI https://doi.org/10.1016/j.ribaf.2016.04.012
Keywords Cross autocorrelation; institutions; embryonic market
Public URL https://nottingham-repository.worktribe.com/output/974955
Publisher URL http://dx.doi.org/10.1016/j.ribaf.2016.04.012
Contract Date May 17, 2016

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