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

Naufa, Ahmad Maulin and Lantara, I. Wayan Nuka and Lau, Wee Yeap (2019) The impact of foreign ownership on return volatility, volume, and stock risks: Evidence from ASEAN countries. Economic Analysis and Policy, 64. pp. 221-235. ISSN 0313-5926

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Official URL: https://doi.org/10.1016/j.eap.2019.09.002

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. © 2019

Item Type: Article
Uncontrolled Keywords: Foreign ownership; Return volatility; Volume; Risk; ASEAN
Subjects: H Social Sciences > HC Economic History and Conditions
H Social Sciences > HF Commerce
Divisions: Faculty of Economics & Administration
Depositing User: Ms. Juhaida Abd Rahim
Date Deposited: 20 Feb 2020 03:00
Last Modified: 20 Feb 2020 03:00
URI: http://eprints.um.edu.my/id/eprint/23872

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