Not logged in.
Quick Search - Contribution
Contribution Details
| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | The Impact of Foreign Ownership on Return Volatility: Evidence from China |
| Organization Unit | |
| Authors |
|
| Supervisors |
|
| Language |
|
| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 32 |
| Date | 2021 |
| Abstract Text | Current economy and financial market globalization is pushing the China stock market open to the world. In recent years, China’s securities market regulators have introduced a variety of foreign policies to attract foreign capital. Foreign ownership can provide financial support, management experience, and technological innovation; But on the other hand, they may also bring short-term speculation and international risk which is not conducive to the company. This paper studies the relationship between foreign ownership and stock price volatility. The study period is from 2011 to 2019, and I use a fixed e↵ects model to conduct the research. Additionally, I also divide the foreign shareholder into institution and individual, use domestic institution and individual as control variables to check whether the e↵ect of di↵erent investors is di↵erent between foreigner shareholders and domestic shareholders. Furthermore, I also divide the sample period into “before stock connect” and “after stock connect” to check whether the e↵ect changes in di↵erent market condition. My result shows that foreign shareholding is significant positively correlated with companies’ stock price volatility. I also study the relationship under di↵erent market conditions and find that “after stock connect” foreign shareholding has a larger positive e↵ects on stock price volatility than previously. Finally I conduct robustness tests to further prove my results. The empirical results with interaction terms indicates that foreign ownership influences firm-level volatility via liquidity. |
| Export |
BibTeX
|