Philippine E-Journals

Ownership Structure and Stock Return Asymmetries in ASEAN-5 Stock Markets: A Firm-Level Analysis

Sorasart Sukcharoensin | Pariyada Sukcharoensin

 

Abstract:

Abstract: This paper explores the relationship between ownership structure and the skewness in the stock return distribution among ASEAN-5 equity markets, including Indonesia, Malaysia, the Philippines, Singapore, and Thailand during 2007–2015. This study adds to the existing literatures that ownership structure can explain skewness of the stock returns. The empirical results reveal that stock returns in ASEAN-5 markets present asymmetric distribution. Further, by employing firm-level data, the results show that ownership structure, cumulative daily stock returns, firm size, and market-to-book ratio significantly affect future skewness of the stock returns.