Large Foreign Ownership and Firm-Level Stock Return Volatility in Emerging Markets
This 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 <italic>negative</italic> relationship between LFO and volatility, even after controlling for potential endogeneity and the impact of major domestic shareholders. This suggests a <italic>stabilizing</italic> 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.
Year of publication: |
2011
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Authors: | Li, Donghui ; Nguyen, Quang N. ; Pham, Peter K. ; Wei, Steven X. |
Published in: |
Journal of Financial and Quantitative Analysis. - Cambridge University Press. - Vol. 46.2011, 04, p. 1127-1155
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Publisher: |
Cambridge University Press |
Description of contents: | Abstract [journals.cambridge.org] |
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