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

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  • Naufa, Ahmad Maulin
  • Lantara, I Wayan Nuka
  • Lau, Wee-Yeap

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.

Suggested Citation

  • Naufa, Ahmad Maulin & Lantara, I Wayan Nuka & Lau, Wee-Yeap, 2019. "The impact of foreign ownership on return volatility, volume, and stock risks: Evidence from ASEAN countries," Economic Analysis and Policy, Elsevier, vol. 64(C), pages 221-235.
    • Handle: RePEc:eee:ecanpo:v:64:y:2019:i:c:p:221-235
    DOI: 10.1016/j.eap.2019.09.002
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    Cited by:

    1. Herjuna Qobush Izzahdi & Ani Wilujeng Suryani, 2023. "COVID-19 Vaccination, Government Strict Policy and Capital Market Volatility: Evidence from ASEAN Countries," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 2, pages 117-135.
    2. Ahmad Maulin Naufa & Mamduh M. Hanafi & I Wayan Nuka Lantara, 2021. "Foreign Ownership, Stock Performance-Risk, And Macroeconomic Factors In Asean Countries," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 24(1), pages 151-168, March.

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    More about this item

    Keywords

    Foreign ownership; Return volatility; Volume; Risk; ASEAN;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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