Foreign Ownership and Volatility Dynamics of Indonesian Stocks

Download or read book Foreign Ownership and Volatility Dynamics of Indonesian Stocks written by Jian-Xin Wang and published by . This book was released on 2008 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper 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.