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Foreign ownership and stock return volatility – Evidence from Vietnam

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  • Vo, Xuan Vinh

Abstract

This paper examines the effects of foreign ownership on the firm-level volatility of stock returns in Vietnam. We use a detailed panel data set of firms listed on the Ho Chi Minh City stock exchange for the period from 2006 to 2012. Employing different econometric estimation techniques for panel data analysis, our empirical results show that firm ownership by foreign investors decreases firm stock price volatility in Vietnam stock market. The result implies the stabilizing role of foreign investors in emerging stock markets and this can be considered as one of the potential benefits of increasing the exposure of domestic stock markets to foreign investors.

Suggested Citation

  • Vo, Xuan Vinh, 2015. "Foreign ownership and stock return volatility – Evidence from Vietnam," Journal of Multinational Financial Management, Elsevier, vol. 30(C), pages 101-109.
  • Handle: RePEc:eee:mulfin:v:30:y:2015:i:c:p:101-109
    DOI: 10.1016/j.mulfin.2015.03.004
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    Citations

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    Cited by:

    1. Vo, Xuan Vinh, 2017. "Determinants of capital structure in emerging markets: Evidence from Vietnam," Research in International Business and Finance, Elsevier, vol. 40(C), pages 105-113.
    2. Yang, Ann Shawing & Pangastuti, Airin, 2016. "Stock market efficiency and liquidity: The Indonesia Stock Exchange merger," Research in International Business and Finance, Elsevier, vol. 36(C), pages 28-40.
    3. repec:eee:finana:v:52:y:2017:i:c:p:88-93 is not listed on IDEAS
    4. Vo, Xuan Vinh, 2016. "Does institutional ownership increase stock return volatility? Evidence from Vietnam," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 54-61.
    5. Batten, Jonathan A. & Vo, Xuan Vinh, 2015. "Foreign ownership in emerging stock markets," Journal of Multinational Financial Management, Elsevier, vol. 32, pages 15-24.
    6. Alda, Mercedes, 2017. "The relationship between pension funds and the stock market: Does the aging population of Europe affect it?," International Review of Financial Analysis, Elsevier, vol. 49(C), pages 83-97.
    7. Ahmed, Walid M.A., 2017. "The impact of foreign equity flows on market volatility during politically tranquil and turbulent times: The Egyptian experience," Research in International Business and Finance, Elsevier, vol. 40(C), pages 61-77.
    8. repec:bpj:ajlecn:v:7:y:2016:i:3:p:369-383:n:2 is not listed on IDEAS

    More about this item

    Keywords

    G32; G35; Foreign Investors; Volatility; Ownership; Vietnam;

    JEL classification:

    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G35 - Financial Economics - - Corporate Finance and Governance - - - Payout Policy

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