境外股东持股对我国股市收益率风险的影响研究
|
摘要
发展中国家股票市场开放的利弊之争一直是发展经济学研究的热点问题之一。尽管在影响程度和机制方面未能取得一致的结论,但既有研究对于市场开放会对本国市场环境、上市公司治理水平及经济发展带来显著的影响并不存在异议。本文沿袭上述研究线索,以我国股票市场为对象,对股票市场开放效应开展进一步的深入研究。在研究方法上,本文选择收益率风险作为市场开放效应的代理变量,同时为反映市场开放程度的动态变化,选择境外股东持股比例作为市场开放程度的代理变量。基于利用沪深两市上市公司1999-2008年的面板数据,本文集中考察境外资本进入对我国股市收益率风险的影响,进一步则对其潜在的影响机制开展理论和实证研究。在论文结构上,本文将先对境外股东持股与收益率风险之间的关系进行实证分析,并探讨不同性质境外股东作用的差异性。在此基础上,进一步从宏观和微观两个层面探讨其可能的影响机制：首先,基于信息经济学和公司治理理论,研究境外股东持股对股价特质性风险的影响；其次,则从风险传递的角度出发,研究境外股东持股对我国股票市场与世界市场一体化程度的影响。
本文运用稳健的面板数据回归,在控制持股比例内生性的基础上对境外股东持股与收益率风险、股价特质性风险以及市场一体化程度的关系进行实证分析,研究发现：
(1)境外股东持股比例的提高显著增加了收益率风险
1)在控制住企业规模、换手率等公司特征变量以及股权结构等因素影响后,境外股东持股比例与收益率风险显著正相关,说明境外股东持股比例越高,股票收益率风险越大。境外股东在我国并未起到稳定市场的作用,相反增加了市场的收益率风险；
2)在境外股东中,法人股东持股比例与收益率风险显著正相关,而个人股东持股比例回归系数并不显著,说明境外股东中对收益率风险起主要作用的是法人股东,且不同性质的法人股东的作用并无显著的差异；
3)境外股东持股比例与收益率风险无显著的非线性关系,而国有股比例与收益率风险则呈现倒U型的关系；
4)公司治理水平的高低对境外股东的作用没有显著的影响。境外股东在不同公司治理环境下都在一定程度上提高了股价收益率风险。
(2)境外股东持股对股价特质性风险和市场一体化程度的影响是其对收益率风险的主要影响机制
1)境外股东持股比例与股价特质性风险显著正相关,说明境外股东持股比例越高,相应公司股价中反映的特质性信息越多,境外股东持股在提高我国上市公司特质信息传递速度的同时增加了收益率风险中的特质性风险部分；
2)从股东性质看,境外法人股东持股比例与特质性风险显著正相关,而个人股东持股比例与特质性风险显著负相关。从股份性质来看,B股和H股股东持股显著增加了特质性风险,但合格境外投资者持股对特质性风险并无显著影响；
3)境外股东持股比例与市场一体化程度显著正相关,说明境外股东持股在一定程度上提高了我国股票市场与世界市场的一体化程度,增加了世界市场风险的向我国市场的传递的可能性；
4)从境外股东性质来看,法人股东持股比例回归系数显著为正,但境外个人股东持股比例的回归系数并不显著,说明境外股东对市场一体化程度的影响主要由法人股东体现出来；
5)从法人股东的构成来看,合格境外投资者持股比例的回归系数不显著,说明尽管合格境外投资者能够直接参与我国主板市场的交易,但其对市场一体化的作用并不显著。而境外法人股东的回归系数显著为正,说明境外法人股东对市场一体化的影响主要由一般法人机构体现。此外,金融类法人股东和非金融法人股东在作用上不存在显著的差异。
The effect of stock market liberalization is the hot issue of development economics. Although there is no consensus on how and to what extent the opening of capital market influence the development of financial system and economy, all research agree that the opening strategy has impact on the market environment, corporation governance and economy development. In line with the current researchs, this paper put forward the research on the impact of opening of stock market. To do this, the paper will focus of the return volatility, and use the foreign ownership as the proxy for opening extent, in order to reflect the dynamic feature of opening process. Based on the panel data of Chinese listed company between 1999 and 2008, we analyze the impact of entry of foreign capital on the return volatility and the mechanic through which foreign ownership influence volatility. We first focus the research on the relation between foreign ownership and firm-specific volatility and if there is difference among the impact of different foreign shareholders. Based on this result, we then forward our research about the possible mechanism through which foreign ownership influence return volatility from two dimensions. Firstly, we focus on the change of information environment, analyze the impact of foreign ownership on the idiosyncratic volatility of stock prices. Secondly, we analyze the impact of foreign ownership on the integration between Chinese stock market and world market.
The paper tests the relationship between foreign ownership and return volatility, firm-specific volatility and integration with the robust panel data regression, controlling for the potential endogeneity. It is found that:
(1) Foreign ownership increases the return volatility.
1) There is a positive relationship between foreign ownership and return volatility controlling for firm features such as size and turnover and ownership structure. This suggests a destabilizing role of foreign shareholders in Chinese stock market;
2) Among the foreign shareholders, institutional ownership has a significant positive impact on the return volatility, but the influence of personal shareholders is insignificant. This suggests the major impact of foreign ownership on the return volatility is mainly from the institutional shareholders. We also find different foreign shareholders have the same impact on the return volatility;
3) There is a linear relationship between foreign ownership and return volatility, but the relationship between state ownership and return volatility is inversed U shape;
4) Corporation governance environment has no significant impact on the role of foreign ownership. Foreign ownership has the same impact in the different governance environments.
(2) The mechanism through which foreign ownership influence the return volatility are firm-specific volatility and market integration.
1) There is a significant positive relationship between foreign ownership and firm-specific volatility, which suggests that foreign shareholders increase the response speed of stock prices to idiosyncratic information;
2) Among the foreign ownership, institutional ownership has a significant positive impact on the firm-specific volatility, but the impact of personal shareholders is negative. B/H owners increase the firm-specific volatility, but the impact of qualified foreign institutional investors (QFII) is insignificant. The indirect foreign owners have stronger impact than direct shareholder;
3) There is a positive relation between foreign ownership and integration, foreign ownership improves the integration with the world market, increase the possibility of risk transmission from world market to Chinese stock market;
4) Among the foreign ownership, legal entities have a significant positive impact on the integration, but the influence of personal shareholders is insignificant, which suggests that the impact of foreign ownership on the integration is mainly from the institutional ownership;
5) Among the foreign legal entities, although QFII has access to the main market, but there is no significant relation between QFII ownership and integration. In contrast, foreign legal entities have a positive impact on the integration. There is no significant difference between the impact of financial and non-financial institutional shareholders also.
本文运用稳健的面板数据回归,在控制持股比例内生性的基础上对境外股东持股与收益率风险、股价特质性风险以及市场一体化程度的关系进行实证分析,研究发现：
(1)境外股东持股比例的提高显著增加了收益率风险
1)在控制住企业规模、换手率等公司特征变量以及股权结构等因素影响后,境外股东持股比例与收益率风险显著正相关,说明境外股东持股比例越高,股票收益率风险越大。境外股东在我国并未起到稳定市场的作用,相反增加了市场的收益率风险；
2)在境外股东中,法人股东持股比例与收益率风险显著正相关,而个人股东持股比例回归系数并不显著,说明境外股东中对收益率风险起主要作用的是法人股东,且不同性质的法人股东的作用并无显著的差异；
3)境外股东持股比例与收益率风险无显著的非线性关系,而国有股比例与收益率风险则呈现倒U型的关系；
4)公司治理水平的高低对境外股东的作用没有显著的影响。境外股东在不同公司治理环境下都在一定程度上提高了股价收益率风险。
(2)境外股东持股对股价特质性风险和市场一体化程度的影响是其对收益率风险的主要影响机制
1)境外股东持股比例与股价特质性风险显著正相关,说明境外股东持股比例越高,相应公司股价中反映的特质性信息越多,境外股东持股在提高我国上市公司特质信息传递速度的同时增加了收益率风险中的特质性风险部分；
2)从股东性质看,境外法人股东持股比例与特质性风险显著正相关,而个人股东持股比例与特质性风险显著负相关。从股份性质来看,B股和H股股东持股显著增加了特质性风险,但合格境外投资者持股对特质性风险并无显著影响；
3)境外股东持股比例与市场一体化程度显著正相关,说明境外股东持股在一定程度上提高了我国股票市场与世界市场的一体化程度,增加了世界市场风险的向我国市场的传递的可能性；
4)从境外股东性质来看,法人股东持股比例回归系数显著为正,但境外个人股东持股比例的回归系数并不显著,说明境外股东对市场一体化程度的影响主要由法人股东体现出来；
5)从法人股东的构成来看,合格境外投资者持股比例的回归系数不显著,说明尽管合格境外投资者能够直接参与我国主板市场的交易,但其对市场一体化的作用并不显著。而境外法人股东的回归系数显著为正,说明境外法人股东对市场一体化的影响主要由一般法人机构体现。此外,金融类法人股东和非金融法人股东在作用上不存在显著的差异。
The effect of stock market liberalization is the hot issue of development economics. Although there is no consensus on how and to what extent the opening of capital market influence the development of financial system and economy, all research agree that the opening strategy has impact on the market environment, corporation governance and economy development. In line with the current researchs, this paper put forward the research on the impact of opening of stock market. To do this, the paper will focus of the return volatility, and use the foreign ownership as the proxy for opening extent, in order to reflect the dynamic feature of opening process. Based on the panel data of Chinese listed company between 1999 and 2008, we analyze the impact of entry of foreign capital on the return volatility and the mechanic through which foreign ownership influence volatility. We first focus the research on the relation between foreign ownership and firm-specific volatility and if there is difference among the impact of different foreign shareholders. Based on this result, we then forward our research about the possible mechanism through which foreign ownership influence return volatility from two dimensions. Firstly, we focus on the change of information environment, analyze the impact of foreign ownership on the idiosyncratic volatility of stock prices. Secondly, we analyze the impact of foreign ownership on the integration between Chinese stock market and world market.
The paper tests the relationship between foreign ownership and return volatility, firm-specific volatility and integration with the robust panel data regression, controlling for the potential endogeneity. It is found that:
(1) Foreign ownership increases the return volatility.
1) There is a positive relationship between foreign ownership and return volatility controlling for firm features such as size and turnover and ownership structure. This suggests a destabilizing role of foreign shareholders in Chinese stock market;
2) Among the foreign shareholders, institutional ownership has a significant positive impact on the return volatility, but the influence of personal shareholders is insignificant. This suggests the major impact of foreign ownership on the return volatility is mainly from the institutional shareholders. We also find different foreign shareholders have the same impact on the return volatility;
3) There is a linear relationship between foreign ownership and return volatility, but the relationship between state ownership and return volatility is inversed U shape;
4) Corporation governance environment has no significant impact on the role of foreign ownership. Foreign ownership has the same impact in the different governance environments.
(2) The mechanism through which foreign ownership influence the return volatility are firm-specific volatility and market integration.
1) There is a significant positive relationship between foreign ownership and firm-specific volatility, which suggests that foreign shareholders increase the response speed of stock prices to idiosyncratic information;
2) Among the foreign ownership, institutional ownership has a significant positive impact on the firm-specific volatility, but the impact of personal shareholders is negative. B/H owners increase the firm-specific volatility, but the impact of qualified foreign institutional investors (QFII) is insignificant. The indirect foreign owners have stronger impact than direct shareholder;
3) There is a positive relation between foreign ownership and integration, foreign ownership improves the integration with the world market, increase the possibility of risk transmission from world market to Chinese stock market;
4) Among the foreign ownership, legal entities have a significant positive impact on the integration, but the influence of personal shareholders is insignificant, which suggests that the impact of foreign ownership on the integration is mainly from the institutional ownership;
5) Among the foreign legal entities, although QFII has access to the main market, but there is no significant relation between QFII ownership and integration. In contrast, foreign legal entities have a positive impact on the integration. There is no significant difference between the impact of financial and non-financial institutional shareholders also.
引文
[1]白重恩,刘俏,陆洲,宋敏,张俊喜.中国上市公司治理结构的实证研究[J].经济研究,2005(2).
[2]陈国进,王磊.境外上市对融资约束的影响—基于H股公司的经验证据[J].当代财经,2007,(9).
[3]董屹,辜敏,贾彦东.中国股市“政策效应”新特征—来自QFIIII的实证分析[J].财经科学,2003(5).
[4]胡章宏,王晓坤.中国上市公司A股和H股价差的实证研究[J].经济研究,2008(4).
[5]黄贵海,宋敏.H股公司上市前后绩效变化的实证研究[J].管理世界,2005(5).
[6]何浚.上市公司治理结构的实证分析[J].经济研究,1998(5).
[7]蒋义宏.净利润境内外审计差异的实证分析—来自中国B股上市公司年报的证据[J].管理世界,2002(7).
[8]姜金香,李增泉,李磊.两种准则下会计业绩的契约有用性评价—基于B股公司经理人员变更的实证分析[J].财经研究,2005(8).
[9]刘听.信息不对称与H股折价关系的定量研究[J].财经研究,2004(4).
[10]刘成彦,胡枫,王皓.QFII也存在羊群行为吗?[J].金融研究,2007(10).
[11]李学峰,符琳杰,苏伟.QFII与国内开放式证券投资基金的”羊群行为”比较研究[J].世界经济与政治论坛,2008(4).
[12]李志文,宋衍蘅.影响中国上市公司配股决策的因素分析[J].经济科学,2003(3).
[13]李增泉,孙铮,王志伟.“掏空”与所有权安排—来自我国上市公司大股东资金占用的经验证据[J].会计研究,2004(12).
[14]楼迎军.2001年B股对境内投资者开放的事件分析：以同时发行A、B股的沪深上市公司为例[J].世界经济,2002(11).
[15]施东晖.转轨经济中的所有权与竞争：来自中国上市公司的经验证据[J].经济研究,2003(8).
[16]沈红波,潘飞.证券分析师盈利预测与企业境外上市溢价—来自A股市场
信息环境的经验证据[J].山西财经大学学报,2008(4).
[17]石凡,陆正飞,张然.引入战略投资者是否提升了公司价值-来自H股上市公司的经验证据[J].经济学(季刊),2008(4).
[18]宋军,吴冲锋.国际投资者对中国股票资产的价值偏好：来自A-H股和A-B股折扣率的证据[J].金融研究,2008(3).
[19]沈红波,戚艳霞.企业境外上市对公司治理的影响[J].山西财经大学学报,2007(5).
[20]孙立,林丽.QFII投资中国内地证券市场的实证分析[J].金融研究,2006(7).
[21]田利辉.境外上市、制度跃迁和银行绩效—“中银香港”案例分析[J].管理世界,2006(2).
[22]唐齐鸣,刘亚清.市场分割下A、B股成交量、收益率与波动率之间关系的SVAR分析[J].金融研究,2008(2).
[23]王立彦,高展.对A股和H股会计信息差异的会计技术因素分析[J].山西财经大学学报,2002(4).
[24]王立彦,冯子敏,刘军霞.A股-H股上市公司双重财务报表价值相关性[J].经济科学,2002(6).
[25]王立彦,刘军霞.上市公司境内外会计信息披露规则的执行偏差—来自A-H股公司双重财务报告差异的证据[J].经济研究,2003(11).
[26]王克敏,姬美光,李薇.公司信息透明度与大股东资金占用研究[J].南开管理评论,2009(4).
[27]吴文锋,朱云,吴冲锋,芮萌.B股向境内居民开放对市场信息不对称的影响—买卖价差分解方法[J].管理科学学报,2007(6).
[28]吴红军,吴世农.股权制衡、大股东掏空与企业价值[J].经济管理,2009(3).
[29]吴文锋,朱云,吴冲锋,芮萌.B股向境内居民开放对A、B股市场分割的影响[J].经济研究,2002(12).
[30]吴世农,潘越.香港红筹股、H股与内地股市的协整关系和引导关系研究[J].管理学报,2005(2).
[31]谢碧琴.关联交易：H股公司与A股公司的比较[J].证券市场导报,2005(2).
[32]肖作平,廖理.大股东、债权人保护和公司债务期限结构选择—来自中国上 市公司的经验证据[J].管理世界,2007(10).
[33]游家兴,张俊生,江伟.制度建设、公司特质信息与股价波动的同步性—基于R2研究的视角[J].经济学(季刊),2007(1).
[34]易宪容,卢婷.国内企业境外上市对中国股票市场的影响[J].管理世界,2006(7).
[35]殷红,蓝发钦.行业视角下QFIIII影响中国股市的实证研究[J].国际金融研究,2007(10).
[36]赵留彦,王一鸣.A、B股之间的信息流动与波动溢出[J].金融研究,2003(10).
[37]Agmon T.,1972. The Relations Among Equity Markets in the United States, United Kingdom, Germany, and Japan. Journal of Finance 27(4):839-855.
[38]Anderson, R. C., Reeb, D. W.,2003. Founding-Family Ownership and Firm Performance:Evidence from the S&P 500. Journal of Finance 58(2):1301-1329.
[39]Attig, N., Ghoul, S.E., Guedhami, O.,2009. Do Multiple Large Shareholders play a corporate governance role? Evidence from East Asia. The Journal of Financial Research 32(4):395-422.
[40]Ang, J.S., Cole, R.A., Lin, J.W.,2000. Agency costs and ownership structure. Journal of Finance 55(3):81-106.
[41]Bae, K., Bailey, W., Mao, C.X.,2004. Stock market liberalization and the information environment. Journal of International Money and Finance 25(3): 404-428.
[42]Bae, K.H., Chan, K., Ng, A.,2004. Investibility and return volatility. Journal of Financial Economics 71 (2):239-263.
[43]Barber B.M., Lee Y.T., Liu Y.J., Odean T.,2003. Do Individual Day Traders Make Money? Evidence from Taiwan. The Review of Financial Studies 22 (2): 609-632.
[44]Bekaert, G, C. R. Harvey, C. Lundblad,2001. Emerging Equity Markets and Economic Development. Journal of Development Economics 66(2):465-504.
[45]Bekaert, G, C. R. Harvey,1995. Time-varying world market integration. The Journal of Finance 50 (2):403-444.
[46]Berben, R., Jansen, W.J.,2005. Co-movement in international equity markets:a sectoral view. Journal of International Money and Finance 24(2):832-857.
[47]Bekaert G., C. R. Harvey,2000. Foreign speculators and emerging equity markets. Journal of Finance 55(2):565-613.
[48]Bekaert G., C. R. Harvey., Lundblad, Christian,2005. Does financial liberalization spur growth? Journal of Financial Economics 77(1):3-55.
[49]Bekaert G., C. R. Harvey, Lundblad, Christian,2006. Growth volatility and financial market liberalization. Journal of International Money and Finance 25(2): 370-403.
[50]Bekaert G., C. R. Harvey, Lundblad, Christian,2007. Liquidity and expected returns:lessons from emerging markets. Review of Financial Studies 20(2): 1783-1831.
[51]Berle, Adolf, and Gardiner Means,1932. The Modern Corporation and Private Property [M].New York:Macmillan.
[52]Bernard S. Black,1998. Shareholder Activism and Corporate Governance in the United States. New Palgrave Dictionary of Economics and the Law 3:459-465.
[53]Bertrand, M., P., Mehta Mullainathan.S,2002. Ferreting Out Tunneling:An Application to Indian Business Groups. The Quarterly Journal of Economics 117(1): 121-148.
[54]Becker, K. G., J. E. Finnerty, and M. Gupta,1990. The Intertemporal Relation between the U.S. and the Japanese Stock Markets. Journal of Finance 45(3): 1297-1306.
[55]Bigelli, M., Mengoli, S.,2004. Sub-Optimal Acquisition Decision Under a Majority Shareholder System. Journal of Management and Governance 8(2): 373-405.
[56]Brennan, M.J., Cao, H.H.,1997. International portfolio investment flows. Journal of Finance 52 (5):1851-1880.
[57]Bohn H., Tesar L.L.,1996. U.S. Equity Investment in Foreign Markets:Portfolio Rebalancing or Return Chasing? The American Economic Review 86 (2):77-81.
[58]Bohl M.T., Brzeszczynski J.,2005. Do institutional investors destabilize stock prices? evidence from an emerging market. Journal of International Financial Markets, Institutions and Money 16 (4):370-383.
[59]Bozec, Y., Laurin, C.,2008. Large Shareholder Entrenchment and Performance: Empirical Evidence from Canada. Journal of Business Finance& Accounting 35(1): 25-49.
[60]Bushman, R., J. Piotroski, and A. Smith,2002. What Determines Corporate Transparency? Journal of Accounting Research 42 (2):207-252.
[61]Campbell, John, Martin Lettau, Burton G Malkiel and Yexiao Xu,2001. Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic risk. Journal of Finance 56 (1):1-43.
[62]Caselli, F., Gennaioli, N.,2003. Dynastic Management. NBER working paper, NO 9442, available on http://www.nber.com/pdf/9442.
[63]Cifarelli G., Paladino G.,2005. Volatility linkage across three major equity markets:A financial arbitrage approach. Journal of International Money and Finance 24 (2):413-439.
[64]Chay J.B., Eleswarapu V. R.,2001. Deregulation and capital market integration: A study of the New Zealand stock market. Pacific-Basin Finance Journal 9(2): 29-46.
[65]Choe, H., Kho, B.C., Stulz, R.M.,1999. Do foreign investors destabilize stock markets? The Korean experience in 1997. Journal of Financial Economics 54 (2): 227-264.
[66]Cremers, M., Nair, V.,2005. Governance mechanisms and equity prices. Journal of Finance 60 (6):2859-2894.
[67]Cronqvist, H., Nilsson, M,2003. Agency Costs of Dominant Minority Shareholders. Journal of Financial and Quantitative Analysis,38(3):695-719.
[68]Chari, A., Henry, P.,2004. Risk sharing and asset prices:evidence from a natural experiment. The Journal of Finance,59(3):1295-1324.
[69]Chelley-Steeley, P.L.,2000. Interdependence of international equity market volatility. Applied Economics Letters 7 (5):341-345.
[70]Claessens, S., Djankov, S., Fan, J.P., Lang, L.H.P.,2002. Disentangling the Incentive and Entrenchment Effects of Large Shareholdings. The Journal of Finance, 57(6):2741-2771
[71]Cajueiro D.O., Gogas P., Tabak M.,2009. Does financial market liberalization increase the degree of market efficiency? The case of the Athens stock exchange. International Review of Financial Analysis 18 (1-2):50-57.
[72]Darrat, A.F., Benkato, O.M.,2003. Interdependence and volatility spillovers under market liberalization:the case of Istanbul stock exchange. Journal of Business Finance and Accounting 30 (7):1089-1114.
[73]De Long J.B., Shleifer A., Summers L.H., Waldmann R.J.,1990. Positive Feedback Investment Strategies and Destabilizing Rational Speculation. The Journal of Finance 45 (2):379-395.
[74]Demsetz, H., Lehn, K.,1985. The structure of corporate ownership:Causes and consequences. Journal of Political Economy 93(2):1155-1177.
[75]Dodd, Peter, and Jerold Warner,1983. On Corporate Governance:a Study of Proxy Contests. Journal of Financial Economics 11(1-4):401-438.
[76]Doidge, C., Karolyi G.A., Stulz R.M.,2004. Why are foreign listed in the U.S. worth more? Journal of Financial Economics 71 (2):205-238.
[77]Durnev, A., Kim, E.H.,2005. To steal or not to steal:Firm Attributes, Legal Environment and Valuation. Journal of Finance 60 (3):1461-1493.
[78]Durnev, A., Morck, R., Yeung, B.,2004. Value-enhancing capital budgeting and firm-specific stock return variation. Journal of Finance 59 (1):65-105.
[79]Durnev, A., Morck, R., Yeung, B., Zarowin, P.,2003. Does greater firm-specific return variation mean more or less informed stock pricing? Journal of Accounting Research 41 (5):797-836.
[80]Doidge, C.,2004. U.S. cross-listings and the private benefits of control:evidence from dual-class firms. Journal of Financial Economics 72 (3):519-553.
[81]Doidge, C., Karolyi, G.A., Stulz, R.,2004. Why are foreign firms listed in the U.S. worth more? Journal of Financial Economics 71 (2):205-238.
[82]Dyck, A., Zingales, L.,2004. Private benefits of control:an international comparison. Journal of Finance 59(3):537-600.
[83]Edmans A.,2009. Blockholders, market efficiency, and managerial myopia. Journal of Finance,64(6):2481-2513.
[84]Edison, H., Klein, M., Ricci, L., Slok, T.,2004. Capital account liberalization and economic performance:Survey and synthesis. IMF Staff Papers 51:220-256.
[85]Errunza, V.R., Miller, D.P.,2000. Market segmentation and the cost of capital in international equity markets. Journal of Financial and Quantitative Analysis 35 (2): 577-600.
[86]Errunza, V.R., Losq, E.,1985. International asset pricing under mild segmentation: Theory and test. Journal of Finance 40 (3):105-124.
[87]Eun, Cheol S., Sabherwal, Sanjiv,2003. Cross-border listings and price discovery:evidence from U.S.-listed Canadian stocks. Journal of Finance 58(2): 549-575.
[88]Faccio, M., Lang, L.H.P., Young, L.,2001. Dividends and expropriation. American Economic Review 91(2):54-78.
[89]Fama Eugene, and Michael Jensen,1983. Agency Problems and Residual Claims. Journal of Law and Economics 26(2):327-349.
[90]Fan, J., Wong, T.J.,2002. Corporate ownership structure and the informativeness of accounting earnings in East Asia. Journal of Accounting and Economics 3(1):401-425.
[91]Faccio, M., Lang, L.H.P,2002. The Ultimate Ownership of Western European Corporations. Journal of Financial Economics 65(2):365-395.
[92]Ferreira M.A., Matos P.,2008. The colors of investors'money:The role of institutional investors around the world. Journal of Financial Economics 88 (33): 499-533.
[93]Fernandes N., Ferreira M.A.,2008. Does international cross-listing improve the information environment. Journal of Financial Economics 88 (22):216-244.
[94]Foerster, S.R., Karolyi, G.A.,2000. The long-run performance of global equity offerings. Journal of Financial and Quantitative Analysis 35 (2):499-528.
[95]Froot, K.,O'Connell, P., Seasholes, M.,2001. The portfolio flows of international investors. Journal of Financial Economics 59(3):151-193.
[96]Frankel J.A., Schmukler S.L.,2000. Country funds and asymmetric information. International Journal of Finance and Economics 10 (5):177-195.
[97]Fuchs-Schundeln, N., Funke, N.,2003. Stock market liberalizations:Financial and macroeconomic implications. Review of World Economics 139 (4):730-761.
[98]Fisman, R., Love, I.,2003. Trade credit, financial intermediary development, and industry growth. The Journal of Finance 58(1):353-374.
[99]Gaspar J.M., Massa M., Matos P.,2006. Favoritism in Mutual Fund Families? Evidence on Strategic Cross-Fund Subsidization. Journal of Finance 61 (1):73-104.
[100]Merica G., Leal R.P.C., Ratner M., Mericc I.,2001. Co-movements of U.S. and Latin American equity markets before and after the 1987 crash. International Review of Financial Analysis10 (1):219-235.
[101]Gabaix X., Laibson D., Moloche G, Weinberg S.,2005. Costly Information Acquisition:Experimental Analysis of a Boundedly Rational Model. The American Economic Review 96 (4):1043-1068.
[102]Geert Bekaert, Campbell R. Harvey, Robin L. Lumsdainec,2002. Dating the integration of world equity markets. Journal of Financial Economics 65(2):203-247.
[103]Gupta, N., Yuan, K.,2009. On the growth effect of stock market liberalizations. Review of Financial Study,22(11):4715-4752.
[104]Guiso L., Jappelli T., Padula M., Pagano M.,2004. Financial market integration and economic growth in the EU. Economic Policy 19 (40):523-577.
[105]Grinblatt M., Keloharju M.,2000. The investment behavior and performance of various investor types:a study of Finland's unique data set. Journal of Financial Economics 55(1):43-67.
[106]Hamao, Y., R. W. Masulis, and V.Ng,1990. Correlations in Price Changes and Volatility across International Stock Markets. Review of Financial Studies,3 (2): 281-308.
[107]Hardouvelis G. A., Malliaropulos D., Priestley R.,2006. EMU and European stock market integration. Journal of Business 79 (1):365-392.
[108]Henry, P.B.,2000. Do stock market liberalizations cause investment booms? Journal of Financial Economics 58(1-2):301-334.
[109]Henry, P.B.,2000. Stock market liberalization, economic reform, and emerging market equity prices. Journal of Finance 55(2):529-564.
[110]Henry, P.B.,2003. Capital-Account Liberalization, the Cost of Capital, and Economic Growth. The American Economic Review 93 (2):91-96.
[111]Heflin, F., Shaw, W.K.,2000. Blockholder ownership and market liquidity. Journal of Financial and Quantitative Analysis,35(2):621-633.
[112]Holderness, C.G.,2003. A survey of blockholders and corporate control. Economic Policy Review 9(1):51-64.
[113]Holderness, C.G., Sheehan, D.P.,1988. The role of majority shareholders in publicly held corporations. Journal of Financial Economics,20(2):317-346.
[114]Holstrom, B., Tirole, J.,2002. Domestic and international supply of liquidity. American Economic Review 92(2):42-45.
[115]Inessa Love,2003. Financial Development and Financing Constraints: International Evidence from the Structural Investment Model. Review of Financial Studies 16 (3):765-791.
[116]In, F., Kim, S., Yoon, J.H., Viney, C.,2001. Dynamic interdependence and volatility transmission of Asian stock markets evidence from the Asian crisis. International Review of Financial Analysis 10,87-96.
[117]Iwata S., Wu S.,2009. Stock market liberalization and international risk sharing. Journal of International Financial Markets, Institutions and Money 19 (3):461-476.
[118]Jang, H., Sul, W.,2002. The Asian financial crisis and the co-movement of Asian stock markets. Journal of Asian Economics 13(1):94-104.
[119]Jayasuriya S.,2005. Stock market liberalization and volatility in the presence of favorable market characteristics and institutions. Emerging Markets Review 6 (2): 170-191.
[120]Jiang L., Kim J.B.,2004. Journal of International Financial Management& Accounting 15 (3):185-211.
[121]Joh, S.W.,2003. Corporate Governance and Firm Profitability:Evidence from Korea before the Economic Crisis. Journal of Financial Economics 68(2):287-322.
[122]Jimmy E. Hilliard,1979. The Relationship Between Equity Indices on World Exchanges. The Journal of Finance 34 (1):103-114.
[123]Johnson, S. R., La Porta, F., Lopez-de-Silanes, F., Shleifer, A.,2000. Tunneling. American Economic Review 90 (2):22-27.
[124]Johnson R., Soenen L.,2002. Asian Economic Integration and Stock Market Comovement. Journal of Financial Research 25 (1):141-157.
[125]Kearney C.,2000. The determination and international transmission of stock market volatility. Global Finance Journal 11 (1-2):31-52.
[126]Kearney C., Lucey B.M.,2004. International equity market integration:Theory, evidence and implications. International Review of Financial Analysis 13(3):571-583.
[127]Kim, E., Singal, V.,2000. Stock market openings:experience of emerging economies. Journal of Business 73(2):25-66.
[128]Kim W., Wei S.J.,2002. Foreign portfolio investors before and during a crisis. Journal of International Economics 56 (1):77-96.
[129]Klein, Michael W, Capital Account Openness and the Varieties of Growth Experience (February 2003). NBER Working Paper No. W9500. Available at SSRN: http://ssrn.com/abstract=381320
[130]Kodres, L., Pritsker, M.,2002. A rational expectations model of financial contagion. Journal of Finance 57(3):769-800.
[131]La Porta, R., Lopez-de-Silanes, F., Shleifer, A.1999. Corporate Ownership Around the World. Journal of Finance 54(2):417-517.
[132]La Porta, R., Lopez-de-Silanes, F., Shleifer, A., Vishny, R.W.,2000. Investor protection and corporate valuation. Journal of Financial Economics 58(3):3-27.
[133]Lang, M., Lins, K., Miller, D.,2003. ADRs, analysts, and accuracy:does cross listing in the U.S. improve a firm's information environment and increase market value? Journal of Accounting Research 41 (2):317-346.
[134]Leong, S.C., Felmingham, B.,2003. The interdependence of share markets in the developed economies of East Asia. Pacific-Basin Finance Journal 11 (2):219-237.
[135]Levine, R., Zervos, S.,1998. Stock markets, banks, and economic growth. American Economic Review 88(3):537-558.
[136]Levine, R., Zervos, S.,1998. Capital control liberalization and stock market development. World Development 26(7):1169-1183.
[137]Lins, K. V.,2003. Equity Ownership and Firm Value in Emerging Markets. Journal of Financial and Quantitative Analysis 38(1):159-184.
[138]Lins, K., D, Strickland, and M. Zenner,2000. Do non-U.S. firms issue equity on U.S. stock exchanges to relax capital constraints? The Journal of Financial and Quantitative Analysis 40 (1):109-133.
[139]Li, K., Morck, R., Yang, F., Yeung, B.,2004. Firm-specific variation and openness in emerging markets. Review of Economics and Statistics 86 (3):658-669.
[140]Li, D., Quang N. Nguyen, Peter K. Pham, and Steven X. Wei,2010, Large Foreign Ownership and Firm-Level Stock Return Volatility in Emerging Markets, Journal of Financial and Quantitative Analysis, forthcoming.
[141]Love, I.,2000. Financial Development and Financing Constraints:International Evidence from the Structural Investment Model. Review of Financial Studies 16(3): 765-791.
[142]Maug, E.,1998. Large shareholders as monitors:Is there a trade-off between liquidity and control? Journal of Finance 53(3):65-98.
[143]Merton, R.C,1987. A Simple Model of Capital Market Equilibrium with Incomplete Information. The Journal of Finance 42 (3):483-510.
[144]Mitton T.,2006. Stock market liberalization and operating performance at the firm level. Journal of Financial Economics 81 (3):625-647.
[145]Morck, R.K., Stangeland, D.A., Yeung, B,2000. Inherited wealth, corporate control and economic growth:The Canadian disease, NBER working paper 6814, available on http://www.nber.org/papers/w6814.pdf.
[146]Morck, R., Yeung, B., Yu, W.,2000. The information content of stock markets: why do emerging markets have synchronous stock price movements? Journal of Financial Economics 58 (1-2):215-260.
[147]Morck, D.W., Yeung, B.,2005. Corporate Governance, Economic Entrenchment and Growth. Journal of Economics Literature 43(3):655-721.
[148]Nazmi, N.,2005. Deregulation, financial deepening and economic growth:The case of Latin America. Quarterly Journal of Economics and Finance 45(2-3): 447-459.
[149]Ng. A.,2000. Volatility spillover effects from Japan and the US to the Pacific-Basin. Journal of International Money and Finance 19 (3):207-233.
[150]Patro D. K., Wald J.K.,2005. Firm characteristics and the impact of emerging market liberalizations. Journal of Banking& Finance 29 (7):1671-1695.
[151]Ross Levine,2002. Bank-Based or Market-Based Financial Systems:Which Is Better? Journal of Financial Intermediation 11(4):398-428.
[152]Reese, W., and M. Weisbach,2001. Protection of minority shareholder interests, cross-listings in the United States, and subsequent equity offerings. Journal of Financial Economics 66 (1):65-104.
[153]Ross Levine,2001. International Financial Liberalization and Economic Growth. Review of International Economics 9(3):688-702.
[154]Roll, R.,1988. R2. Journal of Finance 43 (3):541-566.
[155]Sabri N.R.,2004. Stock Return Volatility and Market Crisis In Emerging Economies. Review of Accounting and Finance 3 (3):59-83.
[156]Shleifer, A., Vishny, R.W.,1997. A Survey of Corporate Governance. Journal of Finance 52(2),737-783.
[157]Singh, M., Davidson III, W.N.,2003. Agency costs, ownership structure and corporate governance mechanisms. Journal of Banking and Finance,27(3):793- 816.
[158]Stulz, R.M.,1981. On the effects of barriers to international asset pricing. Journal of Finance 25 (4):783-794.
[159]Stulz, R. M.,1990. Managerial discretion and optimal financing policies. Journal of Financial Economics 26 (3):3-28.
[160]Stulz, R. M.,1999. Globalization, corporate finance, and the cost of capital. Journal of Applied Corporate Finance 12 (3):8-25.
[161]Stulz, J. E.,2000. Capital Market Liberalization, Economic Growth, and Instability. World Development 28 (6):1075-1086.
[162]Tesar L.L., Werner I.M,,1994. U.S. Equity Investment in Emerging Stock Markets. World Bank Economic Review 9 (1):109-129.
[163]Thomsen, S., Pedersen, T., Kvist, H.K.,2006. Blockholder ownership:effects on firm value in market and control based governance systems. Journal of Corporate Finance 12(2):246-269.
[164]Torre de la A., Gozzi J.C., Schmukler S.L.,2007. Stock market development under globalization:Whither the gains from reforms? Journal of Banking& Finance 31 (6):1731-1754.
[165]Villalonga, B., Amit, R.,2006. How Do Family Ownership, Control, and Management Affect Firm Value? Journal of Financial Economics 80(3):385-417.
[166]Wang S.S, Firth M.,2004. Do bears and bulls swim across oceans? Market information transmission between greater China and the rest of the world. Internatioanl Financial Markets, Institutions and Money 14(2):235-254.
[167]Wang J.X,2007. Foreign equity trading and emerging market volatility: Evidence from Indonesia and Thailand. Journal of Development Economics 84 (2): 798-811.
[168]Wen-Ling Lin, Robert F. Engle, Takatoshi I to,1994. Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility. The Review of Financial Studies 7 (3):507-538.
[169]Wooldridge, Jeffrey M.,2002. Econometric analysis of cross section and panel data. Cambridge, MA:MIT Press.
[170]Wong, W.K., Penm, J., Terrell, R.D., Ching, K.Y.,2004. The relationship between stock markets of major developed countries and Asian emerging markets. Journal of Applied Mathematics& Decision Sciences 8 (4):201-218.
[171]Wongswan, J.,2006. Transmission of information across international equity markets. Review of Financial Studies 19 (4):1157-1189.
[172]Wongswan, J.,2009. The response of global equity indexes to U.S. monetary policy announcements. Journal of International Money and Finance 28:344-365.
[173]Worthington, A. Higgs H.,2004. Transmission of equity return and volatility in asian developed and emerging markets:A multivariate garch analysis. International Journal of Finance and Economics 91(1):71-80.
[174]Wurgler, J.,2000. Financial markets and the allocation of capital. Journal of Financial Economics 58 (1-2):187-214.
[175]Xu, Y., Malkiel, B.,2003. Investigating the behavior of idiosyncratic volatility. Journal of Business 76 (4):613-644.
[2]陈国进,王磊.境外上市对融资约束的影响—基于H股公司的经验证据[J].当代财经,2007,(9).
[3]董屹,辜敏,贾彦东.中国股市“政策效应”新特征—来自QFIIII的实证分析[J].财经科学,2003(5).
[4]胡章宏,王晓坤.中国上市公司A股和H股价差的实证研究[J].经济研究,2008(4).
[5]黄贵海,宋敏.H股公司上市前后绩效变化的实证研究[J].管理世界,2005(5).
[6]何浚.上市公司治理结构的实证分析[J].经济研究,1998(5).
[7]蒋义宏.净利润境内外审计差异的实证分析—来自中国B股上市公司年报的证据[J].管理世界,2002(7).
[8]姜金香,李增泉,李磊.两种准则下会计业绩的契约有用性评价—基于B股公司经理人员变更的实证分析[J].财经研究,2005(8).
[9]刘听.信息不对称与H股折价关系的定量研究[J].财经研究,2004(4).
[10]刘成彦,胡枫,王皓.QFII也存在羊群行为吗?[J].金融研究,2007(10).
[11]李学峰,符琳杰,苏伟.QFII与国内开放式证券投资基金的”羊群行为”比较研究[J].世界经济与政治论坛,2008(4).
[12]李志文,宋衍蘅.影响中国上市公司配股决策的因素分析[J].经济科学,2003(3).
[13]李增泉,孙铮,王志伟.“掏空”与所有权安排—来自我国上市公司大股东资金占用的经验证据[J].会计研究,2004(12).
[14]楼迎军.2001年B股对境内投资者开放的事件分析：以同时发行A、B股的沪深上市公司为例[J].世界经济,2002(11).
[15]施东晖.转轨经济中的所有权与竞争：来自中国上市公司的经验证据[J].经济研究,2003(8).
[16]沈红波,潘飞.证券分析师盈利预测与企业境外上市溢价—来自A股市场
信息环境的经验证据[J].山西财经大学学报,2008(4).
[17]石凡,陆正飞,张然.引入战略投资者是否提升了公司价值-来自H股上市公司的经验证据[J].经济学(季刊),2008(4).
[18]宋军,吴冲锋.国际投资者对中国股票资产的价值偏好：来自A-H股和A-B股折扣率的证据[J].金融研究,2008(3).
[19]沈红波,戚艳霞.企业境外上市对公司治理的影响[J].山西财经大学学报,2007(5).
[20]孙立,林丽.QFII投资中国内地证券市场的实证分析[J].金融研究,2006(7).
[21]田利辉.境外上市、制度跃迁和银行绩效—“中银香港”案例分析[J].管理世界,2006(2).
[22]唐齐鸣,刘亚清.市场分割下A、B股成交量、收益率与波动率之间关系的SVAR分析[J].金融研究,2008(2).
[23]王立彦,高展.对A股和H股会计信息差异的会计技术因素分析[J].山西财经大学学报,2002(4).
[24]王立彦,冯子敏,刘军霞.A股-H股上市公司双重财务报表价值相关性[J].经济科学,2002(6).
[25]王立彦,刘军霞.上市公司境内外会计信息披露规则的执行偏差—来自A-H股公司双重财务报告差异的证据[J].经济研究,2003(11).
[26]王克敏,姬美光,李薇.公司信息透明度与大股东资金占用研究[J].南开管理评论,2009(4).
[27]吴文锋,朱云,吴冲锋,芮萌.B股向境内居民开放对市场信息不对称的影响—买卖价差分解方法[J].管理科学学报,2007(6).
[28]吴红军,吴世农.股权制衡、大股东掏空与企业价值[J].经济管理,2009(3).
[29]吴文锋,朱云,吴冲锋,芮萌.B股向境内居民开放对A、B股市场分割的影响[J].经济研究,2002(12).
[30]吴世农,潘越.香港红筹股、H股与内地股市的协整关系和引导关系研究[J].管理学报,2005(2).
[31]谢碧琴.关联交易：H股公司与A股公司的比较[J].证券市场导报,2005(2).
[32]肖作平,廖理.大股东、债权人保护和公司债务期限结构选择—来自中国上 市公司的经验证据[J].管理世界,2007(10).
[33]游家兴,张俊生,江伟.制度建设、公司特质信息与股价波动的同步性—基于R2研究的视角[J].经济学(季刊),2007(1).
[34]易宪容,卢婷.国内企业境外上市对中国股票市场的影响[J].管理世界,2006(7).
[35]殷红,蓝发钦.行业视角下QFIIII影响中国股市的实证研究[J].国际金融研究,2007(10).
[36]赵留彦,王一鸣.A、B股之间的信息流动与波动溢出[J].金融研究,2003(10).
[37]Agmon T.,1972. The Relations Among Equity Markets in the United States, United Kingdom, Germany, and Japan. Journal of Finance 27(4):839-855.
[38]Anderson, R. C., Reeb, D. W.,2003. Founding-Family Ownership and Firm Performance:Evidence from the S&P 500. Journal of Finance 58(2):1301-1329.
[39]Attig, N., Ghoul, S.E., Guedhami, O.,2009. Do Multiple Large Shareholders play a corporate governance role? Evidence from East Asia. The Journal of Financial Research 32(4):395-422.
[40]Ang, J.S., Cole, R.A., Lin, J.W.,2000. Agency costs and ownership structure. Journal of Finance 55(3):81-106.
[41]Bae, K., Bailey, W., Mao, C.X.,2004. Stock market liberalization and the information environment. Journal of International Money and Finance 25(3): 404-428.
[42]Bae, K.H., Chan, K., Ng, A.,2004. Investibility and return volatility. Journal of Financial Economics 71 (2):239-263.
[43]Barber B.M., Lee Y.T., Liu Y.J., Odean T.,2003. Do Individual Day Traders Make Money? Evidence from Taiwan. The Review of Financial Studies 22 (2): 609-632.
[44]Bekaert, G, C. R. Harvey, C. Lundblad,2001. Emerging Equity Markets and Economic Development. Journal of Development Economics 66(2):465-504.
[45]Bekaert, G, C. R. Harvey,1995. Time-varying world market integration. The Journal of Finance 50 (2):403-444.
[46]Berben, R., Jansen, W.J.,2005. Co-movement in international equity markets:a sectoral view. Journal of International Money and Finance 24(2):832-857.
[47]Bekaert G., C. R. Harvey,2000. Foreign speculators and emerging equity markets. Journal of Finance 55(2):565-613.
[48]Bekaert G., C. R. Harvey., Lundblad, Christian,2005. Does financial liberalization spur growth? Journal of Financial Economics 77(1):3-55.
[49]Bekaert G., C. R. Harvey, Lundblad, Christian,2006. Growth volatility and financial market liberalization. Journal of International Money and Finance 25(2): 370-403.
[50]Bekaert G., C. R. Harvey, Lundblad, Christian,2007. Liquidity and expected returns:lessons from emerging markets. Review of Financial Studies 20(2): 1783-1831.
[51]Berle, Adolf, and Gardiner Means,1932. The Modern Corporation and Private Property [M].New York:Macmillan.
[52]Bernard S. Black,1998. Shareholder Activism and Corporate Governance in the United States. New Palgrave Dictionary of Economics and the Law 3:459-465.
[53]Bertrand, M., P., Mehta Mullainathan.S,2002. Ferreting Out Tunneling:An Application to Indian Business Groups. The Quarterly Journal of Economics 117(1): 121-148.
[54]Becker, K. G., J. E. Finnerty, and M. Gupta,1990. The Intertemporal Relation between the U.S. and the Japanese Stock Markets. Journal of Finance 45(3): 1297-1306.
[55]Bigelli, M., Mengoli, S.,2004. Sub-Optimal Acquisition Decision Under a Majority Shareholder System. Journal of Management and Governance 8(2): 373-405.
[56]Brennan, M.J., Cao, H.H.,1997. International portfolio investment flows. Journal of Finance 52 (5):1851-1880.
[57]Bohn H., Tesar L.L.,1996. U.S. Equity Investment in Foreign Markets:Portfolio Rebalancing or Return Chasing? The American Economic Review 86 (2):77-81.
[58]Bohl M.T., Brzeszczynski J.,2005. Do institutional investors destabilize stock prices? evidence from an emerging market. Journal of International Financial Markets, Institutions and Money 16 (4):370-383.
[59]Bozec, Y., Laurin, C.,2008. Large Shareholder Entrenchment and Performance: Empirical Evidence from Canada. Journal of Business Finance& Accounting 35(1): 25-49.
[60]Bushman, R., J. Piotroski, and A. Smith,2002. What Determines Corporate Transparency? Journal of Accounting Research 42 (2):207-252.
[61]Campbell, John, Martin Lettau, Burton G Malkiel and Yexiao Xu,2001. Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic risk. Journal of Finance 56 (1):1-43.
[62]Caselli, F., Gennaioli, N.,2003. Dynastic Management. NBER working paper, NO 9442, available on http://www.nber.com/pdf/9442.
[63]Cifarelli G., Paladino G.,2005. Volatility linkage across three major equity markets:A financial arbitrage approach. Journal of International Money and Finance 24 (2):413-439.
[64]Chay J.B., Eleswarapu V. R.,2001. Deregulation and capital market integration: A study of the New Zealand stock market. Pacific-Basin Finance Journal 9(2): 29-46.
[65]Choe, H., Kho, B.C., Stulz, R.M.,1999. Do foreign investors destabilize stock markets? The Korean experience in 1997. Journal of Financial Economics 54 (2): 227-264.
[66]Cremers, M., Nair, V.,2005. Governance mechanisms and equity prices. Journal of Finance 60 (6):2859-2894.
[67]Cronqvist, H., Nilsson, M,2003. Agency Costs of Dominant Minority Shareholders. Journal of Financial and Quantitative Analysis,38(3):695-719.
[68]Chari, A., Henry, P.,2004. Risk sharing and asset prices:evidence from a natural experiment. The Journal of Finance,59(3):1295-1324.
[69]Chelley-Steeley, P.L.,2000. Interdependence of international equity market volatility. Applied Economics Letters 7 (5):341-345.
[70]Claessens, S., Djankov, S., Fan, J.P., Lang, L.H.P.,2002. Disentangling the Incentive and Entrenchment Effects of Large Shareholdings. The Journal of Finance, 57(6):2741-2771
[71]Cajueiro D.O., Gogas P., Tabak M.,2009. Does financial market liberalization increase the degree of market efficiency? The case of the Athens stock exchange. International Review of Financial Analysis 18 (1-2):50-57.
[72]Darrat, A.F., Benkato, O.M.,2003. Interdependence and volatility spillovers under market liberalization:the case of Istanbul stock exchange. Journal of Business Finance and Accounting 30 (7):1089-1114.
[73]De Long J.B., Shleifer A., Summers L.H., Waldmann R.J.,1990. Positive Feedback Investment Strategies and Destabilizing Rational Speculation. The Journal of Finance 45 (2):379-395.
[74]Demsetz, H., Lehn, K.,1985. The structure of corporate ownership:Causes and consequences. Journal of Political Economy 93(2):1155-1177.
[75]Dodd, Peter, and Jerold Warner,1983. On Corporate Governance:a Study of Proxy Contests. Journal of Financial Economics 11(1-4):401-438.
[76]Doidge, C., Karolyi G.A., Stulz R.M.,2004. Why are foreign listed in the U.S. worth more? Journal of Financial Economics 71 (2):205-238.
[77]Durnev, A., Kim, E.H.,2005. To steal or not to steal:Firm Attributes, Legal Environment and Valuation. Journal of Finance 60 (3):1461-1493.
[78]Durnev, A., Morck, R., Yeung, B.,2004. Value-enhancing capital budgeting and firm-specific stock return variation. Journal of Finance 59 (1):65-105.
[79]Durnev, A., Morck, R., Yeung, B., Zarowin, P.,2003. Does greater firm-specific return variation mean more or less informed stock pricing? Journal of Accounting Research 41 (5):797-836.
[80]Doidge, C.,2004. U.S. cross-listings and the private benefits of control:evidence from dual-class firms. Journal of Financial Economics 72 (3):519-553.
[81]Doidge, C., Karolyi, G.A., Stulz, R.,2004. Why are foreign firms listed in the U.S. worth more? Journal of Financial Economics 71 (2):205-238.
[82]Dyck, A., Zingales, L.,2004. Private benefits of control:an international comparison. Journal of Finance 59(3):537-600.
[83]Edmans A.,2009. Blockholders, market efficiency, and managerial myopia. Journal of Finance,64(6):2481-2513.
[84]Edison, H., Klein, M., Ricci, L., Slok, T.,2004. Capital account liberalization and economic performance:Survey and synthesis. IMF Staff Papers 51:220-256.
[85]Errunza, V.R., Miller, D.P.,2000. Market segmentation and the cost of capital in international equity markets. Journal of Financial and Quantitative Analysis 35 (2): 577-600.
[86]Errunza, V.R., Losq, E.,1985. International asset pricing under mild segmentation: Theory and test. Journal of Finance 40 (3):105-124.
[87]Eun, Cheol S., Sabherwal, Sanjiv,2003. Cross-border listings and price discovery:evidence from U.S.-listed Canadian stocks. Journal of Finance 58(2): 549-575.
[88]Faccio, M., Lang, L.H.P., Young, L.,2001. Dividends and expropriation. American Economic Review 91(2):54-78.
[89]Fama Eugene, and Michael Jensen,1983. Agency Problems and Residual Claims. Journal of Law and Economics 26(2):327-349.
[90]Fan, J., Wong, T.J.,2002. Corporate ownership structure and the informativeness of accounting earnings in East Asia. Journal of Accounting and Economics 3(1):401-425.
[91]Faccio, M., Lang, L.H.P,2002. The Ultimate Ownership of Western European Corporations. Journal of Financial Economics 65(2):365-395.
[92]Ferreira M.A., Matos P.,2008. The colors of investors'money:The role of institutional investors around the world. Journal of Financial Economics 88 (33): 499-533.
[93]Fernandes N., Ferreira M.A.,2008. Does international cross-listing improve the information environment. Journal of Financial Economics 88 (22):216-244.
[94]Foerster, S.R., Karolyi, G.A.,2000. The long-run performance of global equity offerings. Journal of Financial and Quantitative Analysis 35 (2):499-528.
[95]Froot, K.,O'Connell, P., Seasholes, M.,2001. The portfolio flows of international investors. Journal of Financial Economics 59(3):151-193.
[96]Frankel J.A., Schmukler S.L.,2000. Country funds and asymmetric information. International Journal of Finance and Economics 10 (5):177-195.
[97]Fuchs-Schundeln, N., Funke, N.,2003. Stock market liberalizations:Financial and macroeconomic implications. Review of World Economics 139 (4):730-761.
[98]Fisman, R., Love, I.,2003. Trade credit, financial intermediary development, and industry growth. The Journal of Finance 58(1):353-374.
[99]Gaspar J.M., Massa M., Matos P.,2006. Favoritism in Mutual Fund Families? Evidence on Strategic Cross-Fund Subsidization. Journal of Finance 61 (1):73-104.
[100]Merica G., Leal R.P.C., Ratner M., Mericc I.,2001. Co-movements of U.S. and Latin American equity markets before and after the 1987 crash. International Review of Financial Analysis10 (1):219-235.
[101]Gabaix X., Laibson D., Moloche G, Weinberg S.,2005. Costly Information Acquisition:Experimental Analysis of a Boundedly Rational Model. The American Economic Review 96 (4):1043-1068.
[102]Geert Bekaert, Campbell R. Harvey, Robin L. Lumsdainec,2002. Dating the integration of world equity markets. Journal of Financial Economics 65(2):203-247.
[103]Gupta, N., Yuan, K.,2009. On the growth effect of stock market liberalizations. Review of Financial Study,22(11):4715-4752.
[104]Guiso L., Jappelli T., Padula M., Pagano M.,2004. Financial market integration and economic growth in the EU. Economic Policy 19 (40):523-577.
[105]Grinblatt M., Keloharju M.,2000. The investment behavior and performance of various investor types:a study of Finland's unique data set. Journal of Financial Economics 55(1):43-67.
[106]Hamao, Y., R. W. Masulis, and V.Ng,1990. Correlations in Price Changes and Volatility across International Stock Markets. Review of Financial Studies,3 (2): 281-308.
[107]Hardouvelis G. A., Malliaropulos D., Priestley R.,2006. EMU and European stock market integration. Journal of Business 79 (1):365-392.
[108]Henry, P.B.,2000. Do stock market liberalizations cause investment booms? Journal of Financial Economics 58(1-2):301-334.
[109]Henry, P.B.,2000. Stock market liberalization, economic reform, and emerging market equity prices. Journal of Finance 55(2):529-564.
[110]Henry, P.B.,2003. Capital-Account Liberalization, the Cost of Capital, and Economic Growth. The American Economic Review 93 (2):91-96.
[111]Heflin, F., Shaw, W.K.,2000. Blockholder ownership and market liquidity. Journal of Financial and Quantitative Analysis,35(2):621-633.
[112]Holderness, C.G.,2003. A survey of blockholders and corporate control. Economic Policy Review 9(1):51-64.
[113]Holderness, C.G., Sheehan, D.P.,1988. The role of majority shareholders in publicly held corporations. Journal of Financial Economics,20(2):317-346.
[114]Holstrom, B., Tirole, J.,2002. Domestic and international supply of liquidity. American Economic Review 92(2):42-45.
[115]Inessa Love,2003. Financial Development and Financing Constraints: International Evidence from the Structural Investment Model. Review of Financial Studies 16 (3):765-791.
[116]In, F., Kim, S., Yoon, J.H., Viney, C.,2001. Dynamic interdependence and volatility transmission of Asian stock markets evidence from the Asian crisis. International Review of Financial Analysis 10,87-96.
[117]Iwata S., Wu S.,2009. Stock market liberalization and international risk sharing. Journal of International Financial Markets, Institutions and Money 19 (3):461-476.
[118]Jang, H., Sul, W.,2002. The Asian financial crisis and the co-movement of Asian stock markets. Journal of Asian Economics 13(1):94-104.
[119]Jayasuriya S.,2005. Stock market liberalization and volatility in the presence of favorable market characteristics and institutions. Emerging Markets Review 6 (2): 170-191.
[120]Jiang L., Kim J.B.,2004. Journal of International Financial Management& Accounting 15 (3):185-211.
[121]Joh, S.W.,2003. Corporate Governance and Firm Profitability:Evidence from Korea before the Economic Crisis. Journal of Financial Economics 68(2):287-322.
[122]Jimmy E. Hilliard,1979. The Relationship Between Equity Indices on World Exchanges. The Journal of Finance 34 (1):103-114.
[123]Johnson, S. R., La Porta, F., Lopez-de-Silanes, F., Shleifer, A.,2000. Tunneling. American Economic Review 90 (2):22-27.
[124]Johnson R., Soenen L.,2002. Asian Economic Integration and Stock Market Comovement. Journal of Financial Research 25 (1):141-157.
[125]Kearney C.,2000. The determination and international transmission of stock market volatility. Global Finance Journal 11 (1-2):31-52.
[126]Kearney C., Lucey B.M.,2004. International equity market integration:Theory, evidence and implications. International Review of Financial Analysis 13(3):571-583.
[127]Kim, E., Singal, V.,2000. Stock market openings:experience of emerging economies. Journal of Business 73(2):25-66.
[128]Kim W., Wei S.J.,2002. Foreign portfolio investors before and during a crisis. Journal of International Economics 56 (1):77-96.
[129]Klein, Michael W, Capital Account Openness and the Varieties of Growth Experience (February 2003). NBER Working Paper No. W9500. Available at SSRN: http://ssrn.com/abstract=381320
[130]Kodres, L., Pritsker, M.,2002. A rational expectations model of financial contagion. Journal of Finance 57(3):769-800.
[131]La Porta, R., Lopez-de-Silanes, F., Shleifer, A.1999. Corporate Ownership Around the World. Journal of Finance 54(2):417-517.
[132]La Porta, R., Lopez-de-Silanes, F., Shleifer, A., Vishny, R.W.,2000. Investor protection and corporate valuation. Journal of Financial Economics 58(3):3-27.
[133]Lang, M., Lins, K., Miller, D.,2003. ADRs, analysts, and accuracy:does cross listing in the U.S. improve a firm's information environment and increase market value? Journal of Accounting Research 41 (2):317-346.
[134]Leong, S.C., Felmingham, B.,2003. The interdependence of share markets in the developed economies of East Asia. Pacific-Basin Finance Journal 11 (2):219-237.
[135]Levine, R., Zervos, S.,1998. Stock markets, banks, and economic growth. American Economic Review 88(3):537-558.
[136]Levine, R., Zervos, S.,1998. Capital control liberalization and stock market development. World Development 26(7):1169-1183.
[137]Lins, K. V.,2003. Equity Ownership and Firm Value in Emerging Markets. Journal of Financial and Quantitative Analysis 38(1):159-184.
[138]Lins, K., D, Strickland, and M. Zenner,2000. Do non-U.S. firms issue equity on U.S. stock exchanges to relax capital constraints? The Journal of Financial and Quantitative Analysis 40 (1):109-133.
[139]Li, K., Morck, R., Yang, F., Yeung, B.,2004. Firm-specific variation and openness in emerging markets. Review of Economics and Statistics 86 (3):658-669.
[140]Li, D., Quang N. Nguyen, Peter K. Pham, and Steven X. Wei,2010, Large Foreign Ownership and Firm-Level Stock Return Volatility in Emerging Markets, Journal of Financial and Quantitative Analysis, forthcoming.
[141]Love, I.,2000. Financial Development and Financing Constraints:International Evidence from the Structural Investment Model. Review of Financial Studies 16(3): 765-791.
[142]Maug, E.,1998. Large shareholders as monitors:Is there a trade-off between liquidity and control? Journal of Finance 53(3):65-98.
[143]Merton, R.C,1987. A Simple Model of Capital Market Equilibrium with Incomplete Information. The Journal of Finance 42 (3):483-510.
[144]Mitton T.,2006. Stock market liberalization and operating performance at the firm level. Journal of Financial Economics 81 (3):625-647.
[145]Morck, R.K., Stangeland, D.A., Yeung, B,2000. Inherited wealth, corporate control and economic growth:The Canadian disease, NBER working paper 6814, available on http://www.nber.org/papers/w6814.pdf.
[146]Morck, R., Yeung, B., Yu, W.,2000. The information content of stock markets: why do emerging markets have synchronous stock price movements? Journal of Financial Economics 58 (1-2):215-260.
[147]Morck, D.W., Yeung, B.,2005. Corporate Governance, Economic Entrenchment and Growth. Journal of Economics Literature 43(3):655-721.
[148]Nazmi, N.,2005. Deregulation, financial deepening and economic growth:The case of Latin America. Quarterly Journal of Economics and Finance 45(2-3): 447-459.
[149]Ng. A.,2000. Volatility spillover effects from Japan and the US to the Pacific-Basin. Journal of International Money and Finance 19 (3):207-233.
[150]Patro D. K., Wald J.K.,2005. Firm characteristics and the impact of emerging market liberalizations. Journal of Banking& Finance 29 (7):1671-1695.
[151]Ross Levine,2002. Bank-Based or Market-Based Financial Systems:Which Is Better? Journal of Financial Intermediation 11(4):398-428.
[152]Reese, W., and M. Weisbach,2001. Protection of minority shareholder interests, cross-listings in the United States, and subsequent equity offerings. Journal of Financial Economics 66 (1):65-104.
[153]Ross Levine,2001. International Financial Liberalization and Economic Growth. Review of International Economics 9(3):688-702.
[154]Roll, R.,1988. R2. Journal of Finance 43 (3):541-566.
[155]Sabri N.R.,2004. Stock Return Volatility and Market Crisis In Emerging Economies. Review of Accounting and Finance 3 (3):59-83.
[156]Shleifer, A., Vishny, R.W.,1997. A Survey of Corporate Governance. Journal of Finance 52(2),737-783.
[157]Singh, M., Davidson III, W.N.,2003. Agency costs, ownership structure and corporate governance mechanisms. Journal of Banking and Finance,27(3):793- 816.
[158]Stulz, R.M.,1981. On the effects of barriers to international asset pricing. Journal of Finance 25 (4):783-794.
[159]Stulz, R. M.,1990. Managerial discretion and optimal financing policies. Journal of Financial Economics 26 (3):3-28.
[160]Stulz, R. M.,1999. Globalization, corporate finance, and the cost of capital. Journal of Applied Corporate Finance 12 (3):8-25.
[161]Stulz, J. E.,2000. Capital Market Liberalization, Economic Growth, and Instability. World Development 28 (6):1075-1086.
[162]Tesar L.L., Werner I.M,,1994. U.S. Equity Investment in Emerging Stock Markets. World Bank Economic Review 9 (1):109-129.
[163]Thomsen, S., Pedersen, T., Kvist, H.K.,2006. Blockholder ownership:effects on firm value in market and control based governance systems. Journal of Corporate Finance 12(2):246-269.
[164]Torre de la A., Gozzi J.C., Schmukler S.L.,2007. Stock market development under globalization:Whither the gains from reforms? Journal of Banking& Finance 31 (6):1731-1754.
[165]Villalonga, B., Amit, R.,2006. How Do Family Ownership, Control, and Management Affect Firm Value? Journal of Financial Economics 80(3):385-417.
[166]Wang S.S, Firth M.,2004. Do bears and bulls swim across oceans? Market information transmission between greater China and the rest of the world. Internatioanl Financial Markets, Institutions and Money 14(2):235-254.
[167]Wang J.X,2007. Foreign equity trading and emerging market volatility: Evidence from Indonesia and Thailand. Journal of Development Economics 84 (2): 798-811.
[168]Wen-Ling Lin, Robert F. Engle, Takatoshi I to,1994. Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility. The Review of Financial Studies 7 (3):507-538.
[169]Wooldridge, Jeffrey M.,2002. Econometric analysis of cross section and panel data. Cambridge, MA:MIT Press.
[170]Wong, W.K., Penm, J., Terrell, R.D., Ching, K.Y.,2004. The relationship between stock markets of major developed countries and Asian emerging markets. Journal of Applied Mathematics& Decision Sciences 8 (4):201-218.
[171]Wongswan, J.,2006. Transmission of information across international equity markets. Review of Financial Studies 19 (4):1157-1189.
[172]Wongswan, J.,2009. The response of global equity indexes to U.S. monetary policy announcements. Journal of International Money and Finance 28:344-365.
[173]Worthington, A. Higgs H.,2004. Transmission of equity return and volatility in asian developed and emerging markets:A multivariate garch analysis. International Journal of Finance and Economics 91(1):71-80.
[174]Wurgler, J.,2000. Financial markets and the allocation of capital. Journal of Financial Economics 58 (1-2):187-214.
[175]Xu, Y., Malkiel, B.,2003. Investigating the behavior of idiosyncratic volatility. Journal of Business 76 (4):613-644.