Large Foreign Ownership and Firm-Level Stock Return Volatility in Emerging Markets
研究了31个新兴市场中大额外资持股对公司股票收益波动率的影响，发现大额外资持股能降低波动率，起到稳定市场的作用。
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.