Large Foreign Ownership and Firm-Level Stock Return Volatility in Emerging Markets

2011 ◽  
Vol 46 (4) ◽  
pp. 1127-1155 ◽  
Author(s):  
Donghui Li ◽  
Quang N. Nguyen ◽  
Peter K. Pham ◽  
Steven X. Wei
Keyword(s):  
Emerging Markets ◽  
Stock Return ◽  
Foreign Ownership ◽  
Return Volatility ◽  
Firm Level ◽  
Foreign Investors ◽  
Stock Return Volatility ◽  
Emerging Stock Markets ◽  
The Impact

AbstractThis study constructs a firm-level measure of large foreign ownership (LFO) and investigates its impact on stock return volatility in 31 emerging markets. We find a negative relationship between LFO and volatility, even after controlling for potential endogeneity and the impact of major domestic shareholders. This suggests a stabilizing role of LFO in emerging markets, which is consistent with previous suggestions in the literature on the strong commitments and potential monitoring role of large foreign shareholders. Overall, our study highlights the importance of recognizing the heterogeneity among foreign investors and the benefits of large foreign shareholders to emerging stock markets.

scholarly journals Foreign Ownership and Stock Return Volatility in Vietnam: the Destabilizing Role of Firm Size

2019 ◽  
Vol 10 (2) ◽  
pp. 356-377
Author(s):  
Anh Tho To ◽  
Yoshihisa Suzuki ◽  
Bao Ngoc Vuong ◽  
Quoc Tuan Tran ◽  
Khoa Do
Keyword(s):  
Stock Returns ◽  
Firm Size ◽  
Fixed Effects ◽  
Stock Return ◽  
Foreign Ownership ◽  
Alternative Measure ◽  
Return Volatility ◽  
Stock Return Volatility ◽  
One Year

This study aims to examine the relevance of foreign ownership to stock return volatility in the Vietnam stock market over ten years (2008 - 2017). After applying the fixed effects regressions and the extended instrumental variable regressions with fixed effects, we find that foreign ownership decreases the volatility of stock returns. However, the stabilizing impact of foreign ownership on stock return volatility becomes weaker in large firms since the coeffcient of the interaction term between firm size and foreign ownership turns out to be significantly positive. The estimated results remain robust when we use the future one-year volatility, other than the current one, as an alternative measure of the dependent variable.

scholarly journals Foreign ownership and firm-level stock return volatility in Taiwan

2017 ◽  
Vol 14 (3) ◽  
pp. 261-269 ◽  
Author(s):  
Yi-Chein Chiang ◽  
Ming-Han Chan
Keyword(s):  
Stock Return ◽  
Global Financial Crisis ◽  
Foreign Ownership ◽  
Return Volatility ◽  
Firm Level ◽  
Stock Return Volatility ◽  
Level Data ◽  
Stabilizing Effect ◽  
Sample Test ◽  
The Global Financial Crisis

With the increasing presence of foreign investors and their importance in the stock markets, the authors investigate the effects of foreign ownership on stock return volatility by using Taiwanese firm-level data covering a period from 1994 to 2014. The results demonstrate that foreign ownership is negatively correlated with stock return volatility during the whole sample period, the so-called stabilizing effect. For the sub-sample test, this effect is the largest during the period 2002–2007, the years following Taiwan joins WTO. However, the stabilizing effect did not exist after the global financial crisis in 2008 and recent years. The results are also robust after correcting the potential endogeneity issue.

scholarly journals Does Sustainability Engagement Affect Stock Return Volatility? Evidence from the Chinese Financial Market

2018 ◽  
Vol 10 (10) ◽  
pp. 3361 ◽  
Author(s):  
Junru Zhang ◽  
Hadrian Djajadikerta ◽  
Zhaoyong Zhang
Keyword(s):  
Stock Returns ◽  
Portfolio Management ◽  
Stock Return ◽  
Return Volatility ◽  
Chinese Stock Market ◽  
Stock Return Volatility ◽  
News Release ◽  
Volatility Persistence ◽  
Google Search ◽  
The Impact

This paper examines the impact of firms’ sustainability engagement on their stock returns and volatility by employing the EGARCH and FIGARCH models using data from the major financial firms listed in the Chinese stock market. We find evidence of a positive association between sustainability engagement and stock returns, suggesting firms’ sustainability news release in favour of the market. Although volatility persistence can largely be explained by news flows, the results show that sustainability news release has the significant and largest drop in volatility persistence, followed by popularity in Google search engine and the general news. Sustainability news release is found to affect positively stock return volatility. We also find evidence that market expectation can be driven by the dominant social paradigm when sustainability is included. These findings have important implications for market efficiency and effective portfolio management decisions.

Do corporate directors ‘heap’ dividends? Evidence on dividend rounding and information uncertainty in Australian firms

2018 ◽  
Vol 43 (3) ◽  
pp. 421-438 ◽  
Author(s):  
Yoonsoo Nam ◽  
Scott J Niblock ◽  
Elisabeth Sinnewe ◽  
Keith Jakob
Keyword(s):  
Firm Size ◽  
Stock Return ◽  
Return Volatility ◽  
Information Uncertainty ◽  
Firm Age ◽  
Firm Level ◽  
Stock Return Volatility ◽  
Over Time

In this study, we examine the extent of dividend heaping in Australian firms between 1976 and 2015. Our findings show that 27.39% of dividends greater than or equal to 2.5-cents are heaped in 2.5-cent intervals, while 70.90% of dividends less than 2.5-cents are heaped in 0.25-cent intervals. We find that the heaping phenomenon decreases over time and average dividend size increases. We also show that when establishing the likelihood of dividend heaping, stock return volatility and firm size are consistent with the information uncertainty hypothesis. Dividend heaping also appears to be influenced by firm-level characteristics that are inconsistent with the hypothesis. For instance, the likelihood of heaping increases with dividend size and firm age.

Capital Gains Taxes and Stock Return Volatility

2013 ◽  
Vol 35 (2) ◽  
pp. 1-31 ◽  
Author(s):  
Zhonglan Dai ◽  
Douglas A. Shackelford ◽  
Harold H. Zhang
Keyword(s):  
Stock Returns ◽  
Stock Return ◽  
Cash Flows ◽  
Capital Gains ◽  
Return Volatility ◽  
Capital Gains Tax ◽  
Tax Rate ◽  
Stock Return Volatility ◽  
Capital Gains Taxes ◽  
The Impact

ABSTRACT This paper presents an empirical investigation of the impact of capital gains taxes on stock return volatility. We predict that the more stock returns are subject to capital gains taxation, the greater the increase in return volatility following a capital gains tax rate cut due to reduced risk-sharing in firms' cash flows between shareholders and the government. Consistent with this prediction, we find larger increases in the return volatility for more appreciated stocks than for less appreciated stocks and for non-dividend-paying stocks than for dividend-paying stocks after both 1978 and 1997 capital gains tax rate reductions. The findings imply that capital gains taxes convey a heretofore overlooked benefit of lower stock return volatility.

scholarly journals THE VOLATILITY TRANSMISSION OF MAIN GLOBAL STOCK'S RETURN TO INDONESIA

2017 ◽  
Vol 20 (2) ◽  
pp. 229-256
Author(s):  
Linda Karlina Sari ◽  
Noer Azam Achsani ◽  
Bagus Sartono
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Markets ◽  
Stock Return ◽  
Global Financial Crisis ◽  
Symmetric Model ◽  
Return Volatility ◽  
Stock Return Volatility ◽  
Volatility Transmission ◽  
The Impact

Stock return volatility is a very interesting phenomenon because of its impact on global financial markets. For instance, an adverse shocks in one country’s market can be transmitted to other countries’ market through a particular mechanism of transmission, causing the related markets to experience financial instability as well (Liu et al., 1998). This paper aims to determine the best model to describe the volatility of stock returns, to identify asymmetric effect of such volatility, as well as to explore the transmission of stocks return volatilities in seven countries to Indonesia’s stock market over the period 1990-2016, on a daily basis. Modeling of stock return volatility uses symmetric and asymmetric GARCH, while analysis of stock return volatility transmission utilizes Vector Autoregressive system. This study found that the asymmetric model of GARCH, resulted from fitting the right model for all seven stock markets, provides a better estimation in portraying stock return volatility than symmetric model. Moreover, the model can reveal the presence of asymmetric effects on those seven stock markets. Other finding shows that Hong Kong and Singapore markets play dominant roles in influencing volatility return of Indonesia’s stock market. In addition, the degree of interdependence between Indonesia’s and foreign stock market increased substantially after the 2007 global financial crisis, as indicated by a drastic increase of the impact of stock return volatilities in the US and UK market on the volatility of Indonesia’s stock return.

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