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.

The Determinants of Corporate CDS Spreads: Do Equity Liquidity and Jump Matter?

2014 ◽  
Vol 22 (3) ◽  
pp. 565-595
Author(s):  
Yuen Jung Park ◽  
Jungmu Kim
Keyword(s):  
Time Series ◽  
Stock Return ◽  
Global Financial Crisis ◽  
Explanatory Power ◽  
Firm Level ◽  
Cross Sectional ◽  
Stock Return Volatility ◽  
The Cross ◽  
Market Variables ◽  
The Global Financial Crisis

This paper investigates whether equity liquidity and stock return jump are important determinants for the Korean corporate CDS spreads. The previous studies mainly have examined the determinants of CDS spread time series levels, whereas this study focuses on the determinants of changes or differences of CDS spread time series as well as the effecting factors of cross-sectional variations. Using monthly averaged CDS quotes for 29 firms from Jan. 2005 to Nov. 2012, we first demonstrate that the explanatory power for CDS spread changes is improved to about 39% by adding both credit risk-related market variables and firm-level jump variables, contrary to the low explanatory power (approximately 21%) reported by the previous study. However, since the principle component analysis for residuals from the regression shows that a common risk factor exists, it is possible that additional important factor remains. In addition, we demonstrate that stock return volatility is a robust variable to explain the cross-sectional differences in CDS spreads. We also find that the equity liquidity is a robust and significant factor for the cross-sectional differences in CDS spreads after the global financial crisis period. The result implies that, after the recent crisis, investors more actively considered equity illiquidity costs when they hedged their CDS exposures by stocks.

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.

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.

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.

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, Return Volatility, Trading Volume, and Risk of Stocks in Indonesia

2018 ◽  
Author(s):  
Ahmad Maulin Naufa ◽  
I Wayan Nuka Lantara
Keyword(s):  
Panel Data ◽  
Trading Volume ◽  
Stock Return ◽  
Stock Exchange ◽  
Foreign Ownership ◽  
Return Volatility ◽  
Stock Return Volatility ◽  
Indonesian Government ◽  
The Relationship

This study examines the relationship between foreign ownership and return volatility, trading volume, and risk of stocks at the Indonesia Stock Exchange (IDX). Panel data of selected companies listed on the LQ45 index of the IDX was employed for the period between 2011 and 2017. Foreign ownership was found to positively affect stock return volatility, trading volume, and risk. Hence, more substantial foreign ownership of stocks meant more drawbacks to Indonesian stocks. Therefore, there is a need for the Indonesian government to limit and regulate foreign shareholders in Indonesia.  

scholarly journals Productivity Growth and Value Chains in Four European Countries

2020 ◽  
Vol 20 (18) ◽  
Author(s):  
Izabela Karpowicz ◽  
Nujin Suphaphiphat
Keyword(s):  
Productivity Growth ◽  
Global Financial Crisis ◽  
European Countries ◽  
Value Chains ◽  
Trade Integration ◽  
Firm Level ◽  
Firm Innovation ◽  
Level Data ◽  
Workforce Aging ◽  
The Global Financial Crisis

Advanced economies have been witnessing a pronounced slowdown of productivity growth since the global financial crisis that is accompanied in recent years by a withdrawal from trade integration processes. We study the determinants of productivity slowdown over the past two decades in four closely integrated European countries, Austria, Denmark, Germany and the Netherlands, based on firm-level data. Participation in global value chains appears to have affected productivity positively, including through its effect on TFP when facilitated by higher investment in intangible assets, a proxy for firm innovation. Other contributors to productivity growth in firms are workforce aging, access to finance, and skills mismatches.

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