Asia-Pacific Financial Markets

, Volume 14, Issue 3, pp 201–210

Foreign Ownership and Volatility Dynamics of Indonesian Stocks

Article

DOI: 10.1007/s10690-007-9059-4

Cite this article as:
Wang, J. Asia-Pacific Finan Markets (2007) 14: 201. doi:10.1007/s10690-007-9059-4

Abstract

This note explores how foreign ownership and participation affect the volatility dynamics of individual stocks in Indonesia. After controlling for size and turnover, we show that stocks with high foreign holdings have greater volatility persistence and lead other stocks in the daily volatility changes. The finding holds during and after the Asian financial crisis, and is consistent with domestic investors mimicking foreign trading.

Keywords

Emerging markets Foreign ownership Volatility persistence Volatility spillover Granger causality Asian financial crisis 

JEL Classifications

F32 F36 G12 G15 

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Copyright information

© Springer Science+Business Media, LLC. 2007

Authors and Affiliations

  1. 1.Australian School of BusinessUniversity of New South WalesSydneyAustralia

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