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- W1568756711 abstract "In the late 1990s, the Japanese government initiated a number of reforms that resulted in lower transaction costs and made the Japanese equity market more attractive for foreign institutions. Following these changes, foreign institutional holdings more than doubled, providing an opportunity to study how changes in the composition of investors affect market liquidity. Our analysis of a panel of firm-level ownership data indicates that Japanese stocks that are held more by foreign institutions tend to trade more actively, but are less liquid as measured by their quoted and effective bid-ask spreads, their short-term idiosyncratic volatilities and return reversals. To address endogeneity concerns we use index membership, the number of English news stories about Japanese companies, and their export to sales ratios as instruments for changes in foreign institutional holdings. We find that over the entire sample period, spreads and return reversals decrease less and idiosyncratic volatilities increase more for those stocks with higher foreign holdings." @default.
- W1568756711 created "2016-06-24" @default.
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- W1568756711 date "2012-01-01" @default.
- W1568756711 modified "2023-10-14" @default.
- W1568756711 title "Investor Composition and Liquidity: An Analysis of Japanese Stocks" @default.
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- W1568756711 doi "https://doi.org/10.2139/ssrn.2129417" @default.
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