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This article offers evidence in support of the hypothesis that when investors have weak protection, small investors can suffer expropriation by large shareholders. In this kind of situation, a stock's idiosyncratic risk is found to be negatively related to ownership concentration, which indicates that the cost of controlling ownership may outweigh its benefits. This is consistent with the view that minority investors have less incentive to invest in companies with weak protection for investors. When this is accompanied by low-quality information disclosed to the public, private information is not likely to be reflected in stock prices, resulting in lower idiosyncratic risk.

The financial crises, such as the market crash of October 1987, the 1997 East Asian financial crisis and the 1998 long-term capital management (LTCM) crisis, have all shed fresh light on the importance of systematic liquidity (i.e., market-wide liquidity factor). Following the new trend in market microstructure research, this study examines the commonality in liquidity for the Amman Stock Exchange (ASE), one of the emerging markets in the MENA region. Based on data for 247 firms from March 26, 2000 to December 31, 2011, and applying the market model of Chordia et al. (2000), the results provide strong evidence of the presence of market-wide commonality in liquidity. The cross-sectional mean of the estimated coefficient of concurrent market liquidity is statistically significant for all liquidity measures, apart from the price impact measure. Price impact aside, the results show that commonality is pervasive across all size-based portfolios. The results also show an insignificant industry component in individual stocks' liquidity.

This paper investigates the association between large shareholder's identity and stock price synchronicity in a country where investor protection is weak. Results show that stock prices in Jordan have synchronous behavior especially when the firm is large, consistent with previous empirical evidence on stock price behavior in low per capita GDP countries. Most of the public corporations are owned and controlled by families. In most of the family-controlled firms, the controlling family is also involved in firm's management leading to loose separation between ownership and management. Furthermore, stock prices of family (government)-controlled firms are significantly less (more) synchronous than those of widely held corporations. The pyramid structure is the most widely used indirect control mechanism but results in little deviations between ownership and control.

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