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

被引：143

作者：

Li, Donghui ^{[1
]}

Nguyen, Quang N. ^{[2
,3
]}

Pham, Peter K. ^{[4
]}

Wei, Steven X. ^{[5
]}

机构：

[1] Univ New S Wales, Sch Banking & Finance, Sydney, NSW 2052, Australia

[2] Khang Thong Grp, Ben Thanh Ward, Ho Chi Minh City, Vietnam

[3] Ho Chi Minh City Open Univ, Ho Chi Minh City, Vietnam

[4] Univ Sydney, Fac Econ & Business, Sydney, NSW 2006, Australia

[5] Hong Kong Polytech Univ, Sch Accounting & Finance, Kowloon, Hong Kong, Peoples R China

来源：

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 2011年 / 46卷 / 04期

关键词：

INSTITUTIONAL INVESTORS; CORPORATE GOVERNANCE; LIBERALIZATION; GROWTH; GLOBALIZATION; DETERMINANTS; INVESTMENT; EXPERIENCE; MERGERS; MODEL;

D O I：

10.1017/S0022109011000202

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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 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.

引用

页码：1127 / 1155

页数：29

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