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.
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Wang, J. Foreign Ownership and Volatility Dynamics of Indonesian Stocks. Asia-Pacific Finan Markets 14, 201–210 (2007). https://doi.org/10.1007/s10690-007-9059-4
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DOI: https://doi.org/10.1007/s10690-007-9059-4
Keywords
- Emerging markets
- Foreign ownership
- Volatility persistence
- Volatility spillover
- Granger causality
- Asian financial crisis