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

CFA Digest ◽  
2012 ◽  
Vol 42 (2) ◽  
pp. 56-58
Author(s):  
Johann U. de Villiers
Keyword(s):  
Emerging Markets ◽  
Stock Return ◽  
Foreign Ownership ◽  
Return Volatility ◽  
Firm Level ◽  
Stock Return Volatility

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 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.

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 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.  

Sign in / Sign up

Export Citation Format

Share Document