Foreign ownership and volatility dynamics of Indonesian stocks

Wang, J

Foreign ownership and volatility dynamics of Indonesian stocks

Wang, J

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Publication Type:: Journal Article
Citation:: Asia-Pacific Financial Markets, 2007, 14 (3), pp. 201 - 210
Issue Date:: 2007-09-01

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Field	Value	Language
dc.contributor.author	Wang, J	en_US
dc.date.issued	2007-09-01	en_US
dc.identifier.citation	Asia-Pacific Financial Markets, 2007, 14 (3), pp. 201 - 210	en_US
dc.identifier.issn	1387-2834	en_US
dc.identifier.uri	http://hdl.handle.net/10453/15895
dc.description.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. © 2007 Springer Science+Business Media, LLC.	en_US
dc.relation.ispartof	Asia-Pacific Financial Markets	en_US
dc.relation.isbasedon	10.1007/s10690-007-9059-4	en_US
dc.subject.classification	Finance	en_US
dc.title	Foreign ownership and volatility dynamics of Indonesian stocks	en_US
dc.type	Journal Article
utslib.citation.volume	3	en_US
utslib.citation.volume	14	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
utslib.copyright.status	closed_access
pubs.issue	3	en_US
pubs.publication-status	Published	en_US
pubs.volume	14	en_US

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. © 2007 Springer Science+Business Media, LLC.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/15895