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

Authors

Sorasart Sukcharoensin, National Institute of Development Administration, Bangkok, ThailandFollow
Pariyada Sukcharoensin, National Institute of Development Administration, Bangkok, Thailand

JEL Classification System

C10, C33, G10, G32

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.

Recommended Citation

Sukcharoensin, Sorasart and Sukcharoensin, Pariyada (2018) "Ownership Structure and Stock Return Asymmetries in ASEAN-5 Stock Markets: A Firm-Level Analysis," DLSU Business & Economics Review: Vol. 27: No. 2, Article 6.
DOI: https://doi.org/10.59588/2243-786X.1242
Available at: https://animorepository.dlsu.edu.ph/ber/vol27/iss2/6