Foreign ownership, heterogeneous beliefs, and stock market volatility

This paper examines the effect of foreign ownership on stock market volatility, and further explore the mediating effect of heterogeneous beliefs on the above relationship. We use the data from China's stock markets in 2015 to 2021, present evidence that foreign ownership significantly reduces stock market volatility and heterogeneous investor beliefs are mediating variables for foreign ownership in influencing stock market volatility. To verify the robustness of the results, we conduct further tests by changing the measure of heterogeneous investor beliefs and adding control variables, and all findings are consistent.