Volume 14, Number 2, December 2019
| Institutional Ownership and Systematic Risks: An Empirical Analysis of Chinese A-share Listed Companies |
Abstract
The study investigates the impact of four type institutional ownerships (independent institutions vs. gray institutions, and domestic institutions vs. qualified foreign institutions) on systematic risks in China. In order to identify this effect, this study used the annual data of Chinese A-share listed companies held by institutional investors during the period of 2005-2016 for empirical analysis. Then, the CAPM one-factor model and Fama-French three-factor model were used to analyze the relationship between institutional ownership and systematic risks, in addition to compare the empirical results among pre-, during and post-crisis. This study also performs a robust verification of the results, which using the Hausman test to determine the fixed effects model and the random effects model, which model is more suitable. The empirical results show that independent institutions increase systematic risks of stock in the pre-crisis, however, in the post-crisis independent institutions, grey institutions and domestic institutions reduce systematic risks of stock. During the crisis, none of institutions investments has a significant effect on stock systematic risks. As for foreign institutions, the performance of their supervision in periods of pre-crisis, during crisis and post-crisis is not obvious.
Keywords: Institutional Ownership, Systematic Risks, Financial Tsunami, Corporate Governance
JEL Classification: G01, G20