ABSTRACT
This research examines the impact of foreign institutional and individual ownership on the one step ahead monthly stock return volatility. This research uses monthly data of foreign and domestic ownerships from the Kustodian Sentral Efek Indonesia (KSEI) database. This study employs Fama-MacBeth cross-sectional regression based on Rhee and Wang (2009). The results of this research indicate that foreign institutional ownership lowers future stock return volatility. Meanwhile, foreign individual ownership increases future stock return volatility. Changes of foreign institutional and individual ownerships also display consistent results with the level of foreign institutional and individual ownerships. Further investigations that separate foreign institutional ownership from foreign financial institutional ownership and non-financial institutional ownership indicate that foreign non-financial institutional ownership consistently lowers future stock return volatility. Meanwhile, foreign financial institutional ownership exhibits mixed results.
