Vo, Xuan Vinh (2010): Foreign ownership in Vietnam stock markets - an empirical analysis.
Download (324kB) | Preview
This paper investigates foreign ownership in the Vietnam stock market from 2007 to 2009 employing a rich and detailed dataset. From the perspective of informational asymmetry, the paper examines the relationship between the foreign ownership level and attributes of Vietnamese listed firm in Ho Chi Minh City Stock Exchange. The findings of the paper indicate that foreign investors have preference for large firms, firms with high book-to-market ratio and firms with low leverage. Foreign investors also avoid firms with dominant shareholders and prefer to invest in firms where they can have influence. The results imply that foreign investors favor to invest in firms where they can avoid informational asymmetry.
|Item Type:||MPRA Paper|
|Original Title:||Foreign ownership in Vietnam stock markets - an empirical analysis|
|English Title:||Foreign ownership in Vietnam stock markets - an empirical analysis|
|Keywords:||foreign ownership, firm attributes, foreign investors, Vietnam|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions
G - Financial Economics > G1 - General Financial Markets > G10 - General
|Depositing User:||Xuan Vinh Vo|
|Date Deposited:||04 Apr 2011 02:09|
|Last Modified:||14 Apr 2017 08:18|
Agarwal, S., Faircloth, S., Liu, C. & Ghon Rhee, S. 2009, 'Why do foreign investors underperform domestic investors in trading activities? Evidence from Indonesia', Journal of Financial Markets, vol. 12, no. 1, pp. 32-53.
Aggarwal, R., Klapper, L. & Wysocki, P.D. 2005, 'Portfolio preferences of foreign institutional investors', Journal of Banking & Finance, vol. 29, no. 12, pp. 2919-2946.
Amihud, Y. & Mendelson, H. 1980, 'Dealership market : Market-making with inventory', Journal of Financial Economics, vol. 8, no. 1, pp. 31-53.
Brennan, M.J. & Cao, H.H. 1997, 'International portfolio investment flows', Journal of Finance, vol. 52, no. 5, pp. 1851–1880.
Brennan, M.J., Chordia, T. & Subrahmanyam, A. 1998, 'Alternative factor specifications, security characteristics, and the cross-section of expected stock returns', Journal of Financial Economics, vol. 49, no. 3, pp. 345-373.
Chan, K., Covrig, V. & Ng, L. 2005, 'What Determines the Domestic Bias and Foreign Bias? Evidence from Mutual Fund Equity Allocations Worldwide', The Journal of Finance, vol. 60, no. 3, pp. 1495-1534.
Choe, H., Kho, B.C. & Stulz, R.M. 2005, 'Do domestic investors have an edge? The trading experience of foreign investors in Korea', Review of Financial Studies, vol. 18, no. 3, pp. 795-829.
Chordia, T., Subrahmanyam, A. & Anshuman, V.R. 2001, 'Trading activity and expected stock returns', Journal of Financial Economics, vol. 59, no. 1, pp. 3-32.
Coval, J.D. & Moskowitz, T.J. 1999, 'Home bias at home: Local equity preference in domestic portfolios', Journal of Finance, vol. 54, no. 6, pp. 2045-2073.
Covrig, V., Lau, S.T. & Ng, L. 2006, 'Do domestic and foreign fund managers have similar preferences for stock characteristics? A cross-country analysis', Journal of International Business Studies, vol. 37, no. 3, pp. 407-428.
Dahlquist, M. & Robertsson, G. 2001, 'Direct foreign ownership, institutional investors, and firm characteristics', Journal of Financial Economics, vol. 59, pp. 413-440.
Datar, V.T., Y. Naik, N. & Radcliffe, R. 1998, 'Liquidity and stock returns: An alternative test', Journal of Financial Markets, vol. 1, no. 2, pp. 203-219.
DvoŘÁK, T. 2005, 'Do Domestic Investors Have an Information Advantage? Evidence from Indonesia', The Journal of Finance, vol. 60, no. 2, pp. 817-839.
Fama, E.F. & French, K.R. 1996, 'Multifactor Explanations of Asset Pricing Anomalies', The Journal of Finance, vol. 51, no. 1, pp. 55-84.
Ferreira, M.A. & Matos, P. 2008, 'The colors of investors' money: The role of institutional investors around the world', Journal of Financial Economics, vol. 88, no. 3, pp. 499-533.
French, K.R. & Poterba, J.M. 1991, 'Investor diversification and international equity markets', American Economic Review, vol. 81, no. 2, pp. 222-226.
Froot, K. & Ramadorai, T. 2001, 'The Information Content of International Portfolio Flows', NBER Working Paper No. 8472.
Fu, F. 2009, 'Idiosyncratic risk and the cross-section of expected stock returns', Journal of Financial Economics, vol. 91, no. 1, pp. 24-37.
Grinblatt, M. & Keloharju, M. 2000, 'The investment behavior, and performance of various investor types: A study of finland’s unique data set', Journal of Financial Economics, vol. 55, pp. 43–67.
Hau, H. 2001, 'Geographic patterns of trading profitability in Xetra', European Economic Review, vol. 45, no. 4-6, pp. 757-769.
Huberman, G. 2001, 'Familiarity Breeds Investment', Review of Financial Studies, vol. 14, no. 3, pp. 659-680.
Jeon, J.Q., Lee, C. & Moffett, C.M. forthcoming, 'Effects of foreign ownership on payout policy: Evidence from the Korean market', Journal of Financial Markets, vol. In Press, Corrected Proof.
Kang, J.-K. & Stulz, R. 1997, 'Why is There Home Bias? An Analysis of Foreign Equity Ownership in Japan', Journal of Financial Economics, vol. 46, no. 1, pp. 3-28.
Ko, K., Kim, K. & Cho, S.H. 2007, 'Characteristics and performance of institutional and foreign investors in Japanese and Korean stock markets', Journal of the Japanese and International Economies, vol. 21, no. 2, pp. 195-213.
Levy, H. 1978, 'Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio', American Economic Review, vol. 68, no. 4, pp. 643-658.
Lewis, K.K. 1999, 'Trying to Explain Home Bias in Equities and Consumption', Journal of Economic Literature, vol. 37, no. 2, pp. 571-608.
Lin, C.H. & Shiu, C.-Y. 2003, 'Foreign ownership in the Taiwan stock market--an empirical analysis', Journal of Multinational Financial Management, vol. 13, no. 1, pp. 19-41.
Merton, R.C. 1987, 'A Simple Model of Capital Market Equilibrium with Incomplete Information', The Journal of Finance, vol. 42, no. 3, pp. 483-510.
Rhee, S.G. & Wang, J. 2009, 'Foreign institutional ownership and stock market liquidity: Evidence from Indonesia', Journal of Banking & Finance, vol. 33, no. 7, pp. 1312-1324.
Rouwenhorst, K.G. 1999, 'Local Return Factors and Turnover in Emerging Stock Markets', Journal of Finance, vol. 54, no. 4, pp. 1439-1464.
Rubin, A. 2007, 'Ownership level, ownership concentration and liquidity', Journal of Financial Markets, vol. 10, no. 3, pp. 219–248.
Seasholes, M.S. 2000, 'Smart foreign traders in emerging markets', unpublished, University of California at Berkeley
Solnik, B.H. 1974, 'Why Not Diversify Internationally Rather Than Domestically?', Financial Analysts Journal, vol. 30, no. 4, pp. 48-54.
Stulz, R. 1981, 'On the effects of barriers to international investment', Journal of Finance, vol. 36, pp. 923-934.
Tesar, L.L. & Werner, I.M. 1995, 'Home bias and high turnover', Journal of International Money and Finance, vol. 14, no. 4, pp. 467-492.