The finance research regarding the stock is interesting to explore, especially in the stock. The issue of this research is foreign ownership, the differences among researcher findings upon the influence of foreign ownership effect on return volatility are still found. On the one side, foreign ownership increases return volatility while on the other side it might decrease, but there are also some who find that it does not affect anything. The same thing happens with volume and fundamental risk. The aims of this research are to test the effect of foreign ownership on return volatility, volume and risk of stock in ASEAN countries.
The significance of this topic is important to test, whether the foreign ownership gives the benefits or losses in ASEAN countries Stocks. The research outcomes are expected to gain empirical evidence about foreign ownership effect, could be used to understand the developing research in the same field, and become the one of consideration source in capital market policy making.
Keyword: foreign ownership, return volatility, volume, risk.