CFCM 13/08: Lead-Lag Relationships and Institutional Ownership: Evidence from an Embryonic Equity Market

Abstract

Using daily, stock level data for the early development of the equity market of Trinidad and Tobago over the period 2001 to 2008, this paper investigates the influence of the degree of institutional ownership of stock on lead-lag, stock return relationships. Using a VAR modelling approach to identify cross autocorrelation between more and less institutionally favoured stocks and controlling for a range of other possible conditioning influences (firm size, analyst coverage and liquidity), the study finds strong evidence of institutionally owned stocks leading the returns of stocks held more by individual investors.

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Authors

Vaalmikki Argoon, Spiros Bougheas and Chris Milner

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