market, or 41% of the total market capitalization. Over the same period, liquidity on the Jakarta Stock Exchange improved … Granger causality between foreign institutional ownership and liquidity, while controlling for persistence in foreign … ownership and liquidity measures. We find that foreign holdings have a negative impact on future liquidity: a 10% increase in …

Stock-level liquidity shocks not only affect the transaction costs institutional investors face but also generate … mispricing opportunities. We find that institutions increase (decrease) their trading intensity when liquidity improves (declines …). Further, active institutions trade to take advantage of liquidity-driven mispricing, realizing significant returns, and …

This study explores the liquidity influence of ownership concentration in the Vietnamese stock market where equity … channel, rather than the information friction channel, of ownership concentration impairing stock liquidity. It is from the … stock liquidity, and several regression estimators. It is arguable that Vietnamese firms face a trade-off between the …

This paper shows that institutional sell-side herding increased bid-ask spreads and liquidity risk during the 2007 …-8 financial crisis. Such an impact on liquidity is most pronounced in firms with large numbers of institutions that sold the same …-and-hold, investment style to be the least likely to herd; their trading activity did not affect stock market liquidity during the crisis …

This paper provides original evidence on the relation between herd behavior and equity market liquidity, an issue that … initially we find no evidence of herding. When, however, we condition on the daily liquidity of stocks we find significant … evidence of herd behavior for days with high or medium stock liquidity, for all countries and the majority of the sub …

systematic liquidity risk increased by 34%. We find that the trading of a firm's equity by institutional investors increased the … firms' quoted spreads, and led to a higher liquidity commonality during the crisis. Institutional sell-side herding …

This study examines the liquidity characteristics of market anomalies and how liquidity affects institutional trading … on those anomalies. We find that long-short portfolios based on market anomalies have pervasive liquidity exposures. For … long-horizon anomalies, the long legs of the portfolios are less liquid and suffer from deteriorating liquidity relative to …

Institutional ownership affects the sensitivity of stock returns to changes in market liquidity (liquidity risk …). Overall, institutional ownership lowers the liquidity risk of stocks. However, different types of institutions affect … liquidity risk in opposite ways. Stocks held by hedge funds, especially levered hedge funds, as marginal investors are more …

Yes. Chung, Lee, and Rösch (2020) show that liquidity for large orders improves for the treated firms with larger tick … concentrated among the firms with lower liquidity for large orders ex-ante and mainly comes from dedicated institutional investors …