ORCID Profile
0000-0003-4495-8408
Current Organisation
University of South Australia
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Publisher: Informa UK Limited
Date: 19-12-2018
Publisher: Elsevier BV
Date: 11-2023
Publisher: Elsevier BV
Date: 12-2016
Publisher: Springer Science and Business Media LLC
Date: 26-04-2021
Publisher: Wiley
Date: 19-11-2017
DOI: 10.1111/ACFI.12180
Publisher: Elsevier BV
Date: 06-2023
Publisher: Elsevier BV
Date: 09-2023
Publisher: Elsevier BV
Date: 02-2023
Publisher: Elsevier BV
Date: 12-2015
Publisher: Elsevier BV
Date: 11-2014
Publisher: Elsevier
Date: 2017
Publisher: Elsevier BV
Date: 09-2023
Publisher: Elsevier BV
Date: 09-2013
Publisher: Informa UK Limited
Date: 12-08-2021
Publisher: Wiley
Date: 10-07-2022
DOI: 10.1111/ACFI.12822
Abstract: We study the liquidity commonality impact of local and foreign institutional investment in the Australian equity market in the cross‐section and over time. We find that commonality in liquidity is higher for large stocks compared to small stocks in the cross‐section of stocks, and the spread between the two has increased over the past two decades. We show that this ergence can be explained by foreign institutional ownership. This finding suggests that foreign institutional investment contributes to an increase in the exposure of large stocks to unexpected liquidity events in the local market. We find a positive association between foreign institutional ownership and commonality in liquidity across all stocks, particularly in large and mid‐cap stocks. Correlated trading by foreign institutions explains this association. However, local institutional ownership is positively related to the commonality in liquidity for large‐cap stocks only.
No related grants have been discovered for Reza Bradrania.