The impact of foreign ownership on stock price return volatility of the financial, industrial, holding firms, property, service, mining & oil industry for the years 2008-2012

Abstract

The paper aims to assess the impact of foreign ownership on stock return volatility of the firms listed in the Philippine Stock Exchange (PSE) for years 2008 to 2012. Using a panel data random effect model (REM) regression, the researchers identify which among the six industries (financial, industrial, holding firms, property, service, mining & oil) in the market has the most and least stabilization effect on stock return volatility. Amid global disruption, the improving performance of the country\u27s economy, which is reflected on the stock market, attract foreign investors. It is however, a question whether these participants would want to take profit by having short-term or long-term investments. The researchers find that, on aggregate, foreign investors has a direct relationship on the volatility of stock returns implying their speculative characteristics and increased exposure of the domestic market to world market information. Finally, it is conlcuded in this study that the financial industry is least stabilized while property industry is almost stabilized