The impact of foreign ownership on return volatility, volume, and stock risks: Evidence from ASEAN countries

Corporate Social Responsibility and Tax Aggressiveness: Evidence from Indonesia

“…b). We perform pairwise correlation test to check the collinearity among variables following prior study (Naufa et al, 2019). It analyzes the correlation matrix of independent variables.…”

Foreign Ownership, Stock Performance-Risk, and Macroeconomic Factors in Asean Countries

“…In total, we use five proxies for market performance (namely, ROA, ROE, PER, Tobin's Q, and EPS) for Perf i,t , and therefore, we estimate Equations ( 1) and ( 2) five times, one model for each of the five proxies of stock performance. Additionally, we include five stock-level, namely market capitalization (Size), leverage (Lev), TurnOver (TO), the Price-to-Book Value (PBV), age of a stock (Age) of stock i at time t and three macroeconomic control variables, namely, the Exchange Rate (ER), Interest Rate (IR), and an annual growth rate of GDP of country j at time t. The choice of control variables is dictated by prior studies (see for instance, (Alquist et al, 2019;Chen et al, 2013;Li et al, 2011;Naufa et al, 2019;Peranginangin et al, 2016;Vo, 2016;Xie et al, 2019)).…”

“…This paper firstly examines whether stock performance-risk and macroeconomic factors could attract foreign investors to invest in the Association of Southeast Asian Nations (ASEAN) 1 due to reverse causality as the primary motivation (Batten and Vo, 2015). Secondly, many regulators, researchers, and investors have questioned whether foreign ownership provides more advantages than disadvantages (Naufa et al, 2019). Given this, we also explore the impact of foreign ownership on those factors in six ASEAN countries.…”

“…However, we argue that those two factors cannot be separated given their overall financial and macroeconomic importance. Moreover, this literature has not focused on the ASEAN countries (Naufa et al, 2019). This is not a minor limitation given that the ASEAN countries are a large part of the global financial system and international trade.…”

“…In fact, Yang and Hamori (2014), state that ASEAN countries contribute a significant proportion, are more integrated, and improve rapidly, vis-à-vis the global markets. They have different conditions (developing and developed markets) and regulations on the maximum foreign ownership compared to other regions (Naufa et al, 2019). In terms of international portfolio, a foreign investor could have portfolio investment around the world (Vo, 2016), including in ASEAN countries.…”