Foreign ownership and volatility dynamics of Indonesian stocks

Publication Type:
Journal Article
Citation:
Asia-Pacific Financial Markets, 2007, 14 (3), pp. 201 - 210
Issue Date:
2007-09-01
Metrics:
Full metadata record
Files in This Item:
Filename Description Size
Thumbnail2010002326OK.pdf250.1 kB
Adobe PDF
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. © 2007 Springer Science+Business Media, LLC.
Please use this identifier to cite or link to this item: