Foreign Investment and Stock Return Volatility

摘要：

This paper examines the impact of block foreign ownership on stock return volatility in emerging markets. We show that foreign ownership leads to a decrease in stock return volatility. We also show that restrictions on foreign investment may not be binding in emerging markets. The results in the paper are consistent with the hypothesis that foreign investors impose discipline on local companies, making these companies less risky. In addition, they are consistent with the literature on the sharing of risk between domestic and foreign agents.

作者: Donghui Li Quang Nguyen Peter Pham Steven Wei

作者单位: the University of New South Wales Hong Kong Polytechnic University

会议类型: 国际会议

会议名称: 2006年中国国际金融年会

会议地点: 西安

会议语种:英文

在线出版日期: 2006-07-17（万方平台首次上网日期，不代表论文的发表时间）