Foreign Ownership and Stock Return Volatility in Vietnam: the Destabilizing Role of Firm Size
Articles
Anh Tho To
Hiroshima University
Yoshihisa Suzuki
Hiroshima University
Bao Ngoc Vuong
Hiroshima University
Quoc Tuan Tran
University of Finance
Khoa Do
University of Finance
Published 2019-12-31
https://doi.org/10.15388/omee.2019.10.18
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Keywords

corporate governance
foreign ownership
volatility
firm size

How to Cite

ToA. T., SuzukiY., VuongB. N., TranQ. T. and DoK. (2019) “Foreign Ownership and Stock Return Volatility in Vietnam: the Destabilizing Role of Firm Size”, Organizations and Markets in Emerging Economies, 10(2), pp. 356-377. doi: 10.15388/omee.2019.10.18.

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 coeffcient 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.

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