The impact of foreign ownership on return volatility, volume, and stock risks: Evidence from ASEAN countries

Ahmad Maulin Naufa, I Wayan Nuka Lantara and Wee Yeap Lau

Economic Analysis and Policy, 2019, vol. 64, issue C, 221-235

Abstract: This paper aims to delve into the effect of foreign ownership on return volatility, volume, and risk of buying/holding stocks. It uses panel data from six ASEAN countries from 2007 to 2017. There are three primary findings. First, foreign ownership diminishes return volatility, particularly during and after a crisis. Second, it has a positive influence on the trading volume of a stock in the post-crisis, nonetheless negative during a crisis. Third, it reduces the asset and equity risks. However, these beneficial findings could be uniquely different in other ASEAN member economies. In conclusion, the benefits of foreign ownership outweigh the downside to it.

Keywords: Foreign ownership; Return volatility; Volume; Risk; ASEAN (search for similar items in EconPapers)
JEL-codes: G12 G15 G32 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecanpo:v:64:y:2019:i:c:p:221-235

DOI: 10.1016/j.eap.2019.09.002

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