Stock Price Co-movement and Firm’s Ownership Structure in Emerging Market

Abstract

This study is concerned with the relationship between firm's ownership structure and the co-movement of the stock return with the market return. Four different types of firm ownership, including managerial ownership, state ownership, foreign ownership, and concentrated ownership, are among the main features of the company's governance mechanism and have been separately documemented in the previous research to understand their impact on stock price synchronicity. We constructed the regression model, using stock price synchronicity as the dependent variable and the above four components of ownership structure as explanantory variables. The pooled OLS, the fixed effects model, and the random effects are employed to investigate the outcome of the study. Data used in the reserch are of public firms listed on the Ho Chi Minh City Stock Exchange (HOSE) during the five-year period term from 2015 to 2019. The data sample contains 235 companies from 10 industries with 1135 observations. The results revealed by the fixed effects model, the large ownership and the managerial ownership are found to have adverse effect on the stock price synchronicity, whereas the foreign ownership model is revealed to have positive influence on the stock return co-movement. The effect of the state ownership on the stock price synchronicity is not confirmed.

The Impact of Investment Efficiency on Firm Value and Moderating Role of Institutional Ownership and Board Independence

“…Due to the information asymmetry between owners and managers and by Signaling theory, accounting can be defined as a mechanism for the transfer of relevant and valuable information from the inside of the organization to the outside of it, which results in signaling about competitive advantage, performance, and value of the company (Gumanti 2011) and lead to better decision-making by investors (Vu 2020).…”