Foreign Ownership and Stock Return Volatility in Vietnam: the Destabilizing Role of Firm Size
Foreign Ownership and Stock Return Volatility in Vietnam: the Destabilizing Role of Firm Size
Author(s): Anh Tho To, Yoshihisa Suzuki, Bao Ngoc Vuong, Quoc Tuan Tran, Khoa DoSubject(s): National Economy, Business Economy / Management, Micro-Economics, International relations/trade, Financial Markets
Published by: Vilniaus Universiteto Leidykla
Keywords: corporate governance; foreign ownership; volatility; firm size;
Summary/Abstract: This study aims to examine the relevance of foreign ownership to stock return volatility in the Vietnam stock market over ten years (2008 - 2017). After applying the fixed effects regressions and the extended instrumental variable regressions with fixed effects, we find that foreign ownership decreases the volatility of stock returns. However, the stabilizing impact of foreign ownership on stock return volatility becomes weaker in large firms since the coefficient of the interaction term between firm size and foreign ownership turns out to be significantly positive. The estimated results remain robust when we use the future one-year volatility, other than the current one, as an alternative measure of the dependent variable.
Journal: Organizations and Markets in Emerging Economies
- Issue Year: 10/2019
- Issue No: 20
- Page Range: 356-377
- Page Count: 22
- Language: English
