Does foreign institutional ownership increase return volatility? Evidence from China

Chen, Zhian; Du, Jinmin; Li, Donghui; Ouyang, Rui

doi:10.1016/j.jbankfin.2012.10.006

Cited by 134 publications

(116 citation statements)

References 29 publications

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“…As the main purpose of the paper is to investigate whether increase in foreign ownership in firms has any impact on stock price volatility, the construction of stock price volatility indicators is of great importance. Our volatility measures are constructed similar to Chen et al (2013) …”

Section: Modelmentioning

confidence: 99%

Foreign ownership and stock return volatility – Evidence from Vietnam

2015

Journal of Multinational Financial Management

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Section: Modelmentioning

confidence: 99%

Foreign ownership and stock return volatility – Evidence from Vietnam

2015

Journal of Multinational Financial Management

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“…Our model is similar to Chen et al (2013). The model is firstly estimated using ordinary least squares (OLS) regression estimator.…”

Section: Model and Methodologymentioning

confidence: 99%

“…Following literature such as Chen et al (2013), we use firm size, market to book ratio, leverage ratio and turnover as control variables.…”

Section: Control Variablesmentioning

confidence: 99%

Foreign ownership and firm-level stock return volatility in Taiwan

Chiang

Chan

2017

Investment Management and Financial Innovations

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With the increasing presence of foreign investors and their importance in the stock markets, the authors investigate the effects of foreign ownership on stock return volatility by using Taiwanese firm-level data covering a period from 1994 to 2014. The results demonstrate that foreign ownership is negatively correlated with stock return volatility during the whole sample period, the so-called stabilizing effect. For the subsample test, this effect is the largest during the period 2002-2007, the years following Taiwan joins WTO. However, the stabilizing effect did not exist after the global financial crisis in 2008 and recent years. The results are also robust after correcting the potential endogeneity issue.

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“…Conversely, in the Shenzhen Stock Exchange the A-shares market has 2105 listed firms whereas the B-shares market has 48 listed firms. Hence, this study focuses on A-shares, as have previous studies [7,10,30,31]. We then explore whether the firm-level characteristics and regional industrial development policy affect the investment behavior of institutional investors, and investigate whether the four types of institutional investors have different industrial favorites in the four economic regions in China under the regional industrial development policy.…”

Section: Easternmentioning

confidence: 98%

“…The literature can be divided into two categories. (1) exploring the firm performance [7,15,16,21,22] and ownership structure [1,7,22] that affect the investment behavior of institutional investors; and (2) investigating the impact of institutional investors on board decisions [10,[23][24][25][26][27], volatility of the firm's stock return [14,[28][29][30], and corporate governance [1,22,[31][32][33]. Firm performance and ownership structure are the two firm-level characteristics used in this study.…”

Section: Easternmentioning

confidence: 99%

Sustainable Returns: The Effect of Regional Industrial Development Policy on Institutional Investors’ Behavior in China

Lin

Jun

et al. 2018

Sustainability

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Abstract:Within the market economy system controlled by the Chinese government, this study mainly explores whether government policies can sufficiently guide the investment decisions of professional investors. Thus, we examine whether professional investment institutions can support the government's policy for long-term investment to produce sustainable returns and create value for both the country and investment institutions. To perform this test, we use the annual data from firms held by institutional investors and listed in China A-shares to run a panel regression model. We then explore the following three issues: first, we examined whether firm-level characteristics or regional industrial development policy affect the investment behavior of the institutional investors. Second, we investigated whether four types of institutions have different favorite economic regions in China under the regional industrial development policy. Third, we analyzed which type of institutional investor supports the regional industrial development policy. The above four types of institutions are: independent, grey, domestic, and qualified foreign institutions. Empirical results show that both firm-level characteristics and regional industrial development policy can affect the investment behavior of the institutional owners. Of all the firm-level characteristics selected by institutions in China, return on equity (ROE) is the condition most commonly selected for all types of institutions, whereas the dividend yield (DY) is considered only by qualified foreign institutional investors (QFIIs). Notably, both independent and domestic institutions have the same firm selection criteria. As for the institutions' favorite industries for investment, only grey institutions prefer the power industry and QFIIs prefer manufacturing industry. In addition, all four types of institutional investors have different industrial favorites in the four economic regions in China under the regional industrial development policy. For example, independent institutions prefer the information industry and grey institutions appear to be interested in every industry. Moreover, domestic institutions prefer the manufacturing and information industries, whereas QFIIs prefer the manufacturing industry. Regarding the regional participation of institutions, both domestic institutions and QFIIs seem to focus on every region. Moreover, independent institutions focus on the eastern and western regions, whereas grey institutions only focus on the western region. Finally, domestic institutions received the greatest level of support, followed by grey and independent institutions, whereas the QFIIs receive the least support. Put simply, domestic institutions are deeply engaged in industrial development all over China, whereas QFIIs are only slightly engaged in this development.

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Does foreign institutional ownership increase return volatility? Evidence from China

Cited by 134 publications

References 29 publications

Foreign ownership and stock return volatility – Evidence from Vietnam

Foreign ownership and stock return volatility – Evidence from Vietnam

Foreign ownership and firm-level stock return volatility in Taiwan

Sustainable Returns: The Effect of Regional Industrial Development Policy on Institutional Investors’ Behavior in China

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