We study the liquidity commonality impact of local and foreign institutional investment in the Australian equity market in the cross-section and over time. We find that commonality in liquidity is higher for large stocks compared to small stocks in the cross-section of stocks, and the spread between the two has increased over the past two decades. We show that this divergence can be explained by foreign institutional ownership. This finding suggests that foreign institutional investment contributes to an increase in the exposure of large stocks to unexpected liquidity events in the local market. We find a positive association between foreign institutional ownership and commonality in liquidity across all stocks, particularly in large and mid-cap stocks. Correlated trading by foreign institutions explains this association. However, local institutional ownership is positively related to the commonality in liquidity for large-cap stocks only.

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机构所有权和流动性共性：来自澳大利亚的证据

我们研究了澳大利亚股票市场的本地和外国机构投资在横截面和一段时间内的流动性共性影响。我们发现，在股票的横截面中，大型股票的流动性共性高于小型股票，并且两者之间的价差在过去 20 年中有所增加。我们表明，这种差异可以用外国机构所有权来解释。这一发现表明，外国机构投资增加了大型股票对当地市场意外流动性事件的风险敞口。我们发现外国机构所有权与所有股票的流动性共同性之间存在正相关，特别是在大盘股和中盘股中。外国机构的关联交易解释了这种关联。然而，