Large foreign ownership and firm-level stock return volatility in emerging markets

Donghui Li, Quang N. Nguyen, Peter K. Pham, Xiangdong Wei

Research output: Journal article publicationJournal articleAcademic researchpeer-review

118 Citations (Scopus)


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. Foster School of Business, University of Washington 2011.
Original languageEnglish
Pages (from-to)1127-1155
Number of pages29
JournalJournal of Financial and Quantitative Analysis
Issue number4
Publication statusPublished - 1 Aug 2011

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics


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