This study aims to examine the relevance of foreign ownership to stock return volatility in the Vietnam stock market over ten years (2008 - 2017). After applying the fixed effects regressions and the extended instrumental variable regressions with fixed effects, we find that foreign ownership decreases the volatility of stock returns. However, the stabilizing impact of foreign ownership on stock return volatility becomes weaker in large firms since the coeffcient of the interaction term between firm size and foreign ownership turns out to be significantly positive. The estimated results remain robust when we use the future one-year volatility, other than the current one, as an alternative measure of the dependent variable.

中文翻译：

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越南的外国所有权和股票收益波动：企业规模的不稳定作用

这项研究旨在研究越南股票市场在过去十年（2008年至2017年）中外资拥有权与股票收益波动之间的相关性。在应用固定效应回归和具有固定效应的扩展工具变量回归之后，我们发现外资持股会降低股票收益率的波动性。然而，由于公司规模与外资所有权之间相互作用项的系数显着为正，因此外资所有权对大公司股票收益波动的稳定影响变得更弱。当我们使用未来一年的波动率而不是当前的一年波动率作为因变量的替代度量时，估计结果仍保持稳健。