Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/7038
Title: Large foreign ownership and firm-level stock return volatility in emerging markets
Authors: Li, D
Nguyen, QN
Pham, PK
Wei, S 
Keywords: Business groups
Corporate governance
Institutional investors
Equity ownership
Economic-growth
Home bias
Liberalization
World
Globalization
Determinants
Issue Date: Sep-2011
Publisher: Cambridge University Press
Source: Journal of financial and quantitative analysis, Sept. 2011, v. 46, no. 4, p. 1127-1155 How to cite?
Journal: Journal of financial and quantitative analysis 
Abstract: 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.
URI: http://hdl.handle.net/10397/7038
ISSN: 0022-1090
1756-6916 (EISSN)
DOI: 10.1017/S0022109011000202
Rights: COPYRIGHT 2011, MICHAEL G. FOSTER SCHOOL OF BUSINESS, UNIVERSITY OF WASHINGTON, SEATTLE, WA 98195
The following article " Donghui Li, Quang N. Nguyen, Peter K. Pham and Steven X. Wei (2011). Large Foreign Ownership and Firm-Level Stock Return Volatility in Emerging Markets. Journal of Financial and Quantitative Analysis, 46(4), pp 1127-1155. doi:10.1017/S0022109011000202." is available at http://journals.cambridge.org/action/displayAbstract?fromPage=online&aid=8369131
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