The Effect of Firm Value, Free Float, and Ownership Concentration on Stock Volatility: A Systematic Literature Review
DOI:
https://doi.org/10.38035/dar.v4i1.3567Keywords:
Firm Value, Free Float, Ownership Concentration, Stock Volatility, Systematic Literature Review.Abstract
This study examines the relationships between firm value, free float, and ownership concentration and stock volatility to clarify how firm fundamentals and ownership structures shape stock market risk. It aims to develop conceptual hypotheses for subsequent empirical research through a synthesis of prior studies. The study adopts a library research design using a Systematic Literature Review (SLR) approach. Literature was retrieved from Google Scholar, journal publisher websites, article DOIs, e-books, and other online academic databases; Mendeley was used to manage references. The selected studies were analyzed descriptively and qualitatively, with evidence classified as direct, indirect, or conditional. The review indicates that: (1) firm value is associated with stock volatility through market valuation, growth opportunities, and information uncertainty; (2) free float may influence stock volatility through liquidity, market depth, and the availability of publicly tradable shares; and (3) ownership concentration may influence stock volatility through monitoring mechanisms, information asymmetry, minority shareholder protection, and trading structure. Direct evidence for free float and ownership concentration remains limited; therefore, both relationships require further empirical examination.
References
Ahmed, Z., & Hla, D. T. (2019). Stock return volatility and capital structure measures of nonfinancial firms in a dynamic panel model: Evidence from Pakistan. International Journal of Finance & Economics, 24(1), 604–628. https://doi.org/10.1002/ijfe.1682
Ai, H., & Kiku, D. (2016). Volatility risks and growth options. Management Science, 62(3), 741–763. https://doi.org/10.1287/mnsc.2014.2129
Ali, H., & Limakrisna, N. (2013). Metodologi penelitian: Petunjuk praktis untuk pemecahan masalah bisnis, penyusunan skripsi, tesis, dan disertasi. Deepublish.
Amihud, Y. (2002). Illiquidity and stock returns: Cross-section and time-series effects. Journal of Financial Markets, 5(1), 31–56. https://doi.org/10.1016/S1386-4181(01)00024-6
Baskin, J. (1989). Dividend policy and the volatility of common stocks. The Journal of Portfolio Management, 15(3), 19–25. https://doi.org/10.3905/jpm.1989.409203
Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307–327. https://doi.org/10.1016/0304-4076(86)90063-1
Brockman, P., Chung, D. Y., & Yan, X. (2009). Block ownership, trading activity, and market liquidity. Journal of Financial and Quantitative Analysis, 44(6), 1403–1426. https://doi.org/10.1017/S0022109009990378
Chan, K., Chan, Y.-C., & Fong, W.-M. (2004). Free Float and market liquidity: A study of Hong Kong government intervention. Journal of Financial Research, 27(2), 179–197. https://doi.org/10.1111/j.1475-6803.2004.t01-1-00078.x
Chen, Z., Du, J., Li, D., & Ouyang, R. (2013). Does foreign institutional ownership increase return volatility? Evidence from China. Journal of Banking & Finance, 37(2), 660–669. https://doi.org/10.1016/j.jbankfin.2012.10.006
Christie, A. A. (1982). The stochastic behavior of common stock variances: Value, leverage and interest rate effects. Journal of Financial Economics, 10(4), 407–432. https://doi.org/10.1016/0304-405X(82)90018-6
Claessens, S., Djankov, S., Fan, J. P. H., & Lang, L. H. P. (2002). Disentangling the incentive and entrenchment effects of large shareholdings. The Journal of Finance, 57(6), 2741–2771. https://doi.org/10.1111/1540-6261.00511
Ding, X. S., Ni, Y., & Zhong, L. (2016). Free Float and market liquidity around the world. Journal of Empirical Finance, 38, 236–257. https://doi.org/10.1016/j.jempfin.2016.07.002
Dutt, T., & Humphery-Jenner, M. (2013). Stock return volatility, operating performance and stock returns: International evidence on drivers of the ‘low volatility’ anomaly. Journal of Banking & Finance, 37(3), 999–1017. https://doi.org/10.1016/j.jbankfin.2012.11.001
Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007. https://doi.org/10.2307/1912773
Fang, V. W., Noe, T. H., & Tice, S. (2009). Stock market liquidity and firm value. Journal of Financial Economics, 94(1), 150–169. https://doi.org/10.1016/j.jfineco.2008.08.007
Fithriyana, R., Irfan, A., & Sudirman, W. F. R. (2025). Firm fundamentals and sectoral heterogeneity in Sharia-compliant stock return volatility: Evidence from Indonesia. Journal of Islamic Economics Lariba, 11(2), 969–994. https://doi.org/10.20885/jielariba.vol11.iss2.art12
Hayashi, F. (1982). Tobin’s marginal q and average q: A neoclassical interpretation. Econometrica, 50(1), 213–224. https://doi.org/10.2307/1912538
Hu, W., & Sun, H. (2025). Retail investor attention and stock return volatility: The moderating role of ownership concentration in China. Review of Financial Economics, 43(4), 433–456. https://doi.org/10.1002/rfe.70008
Hussainey, K., Mgbame, C. O., & Chijoke-Mgbame, A. M. (2011). Dividend policy and share price volatility: UK evidence. The Journal of Risk Finance, 12(1), 57–68. https://doi.org/10.1108/15265941111100076
Jankensgård, H., & Vilhelmsson, A. (2018). The shareholder base hypothesis of stock return volatility: Empirical evidence. Financial Management, 47(1), 55–79. https://doi.org/10.1111/fima.12184
Jensen, M. C., & Meckling, W. H. (1976). Theory of the firm: Managerial behavior, agency costs and ownership structure. Journal of Financial Economics, 3(4), 305–360. https://doi.org/10.1016/0304-405X(76)90026-X
Kanas, A. (2000). Volatility spillovers between stock returns and exchange rate changes: International evidence. Journal of Business Finance & Accounting, 27(3–4), 447–467. https://doi.org/10.1111/1468-5957.00320
Kitchenham, B., & Charters, S. (2007). Guidelines for performing systematic literature reviews in software engineering (EBSE Technical Report EBSE-2007-01). Keele University.
Kitchenham, B., Brereton, P., Budgen, D., Turner, M., Bailey, J., & Linkman, S. (2009). Systematic literature reviews in software engineering: A systematic literature review. Information and Software Technology, 51(1), 7–15. https://doi.org/10.1016/j.infsof.2008.09.009
Kyle, A. S. (1985). Continuous auctions and insider trading. Econometrica, 53(6), 1315–1335. https://doi.org/10.2307/1913210
La Porta, R., Lopez-de-Silanes, F., Shleifer, A., & Vishny, R. W. (2002). Investor protection and corporate valuation. The Journal of Finance, 57(3), 1147–1170. https://doi.org/10.1111/1540-6261.00457
Li, D., Nguyen, Q. N., Pham, P. K., & Wei, S. X. (2011). Large foreign ownership and firm-level stock return volatility in emerging markets. Journal of Financial and Quantitative Analysis, 46(4), 1127–1155. https://doi.org/10.1017/S0022109011000202
Li, K., Lu, L., Mittoo, U. R., & Zhang, Z. (2015). Board independence, ownership concentration and corporate performance—Chinese evidence. International Review of Financial Analysis, 41, 162–175. https://doi.org/10.1016/j.irfa.2015.05.024
Lim, S. Y., & Sek, S. K. (2014). Exploring the inter-relationship between the volatilities of exchange rate and stock return. Procedia Economics and Finance, 14, 367–376. https://doi.org/10.1016/S2212-5671(14)00725-4
Lins, K. V. (2003). Equity ownership and firm value in emerging markets. Journal of Financial and Quantitative Analysis, 38(1), 159–184. https://doi.org/10.2307/4126768
Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7(1), 77–91. https://doi.org/10.1111/j.1540-6261.1952.tb01525.x
Merton, R. C. (1987). A simple model of capital market equilibrium with incomplete information. The Journal of Finance, 42(3), 483–510. https://doi.org/10.1111/j.1540-6261.1987.tb04565.x
Page, M. J., McKenzie, J. E., Bossuyt, P. M., Boutron, I., Hoffmann, T. C., Mulrow, C. D., Shamseer, L., Tetzlaff, J. M., Akl, E. A., Brennan, S. E., Chou, R., Glanville, J., Grimshaw, J. M., Hróbjartsson, A., Lalu, M. M., Li, T., Loder, E. W., Mayo-Wilson, E., McDonald, S., … Moher, D. (2021). The PRISMA 2020 statement: An updated guideline for reporting systematic reviews. BMJ, 372, n71. https://doi.org/10.1136/bmj.n71
Phan, T. K. H., & Tran, N. H. (2019). Dividend policy and stock price volatility in an emerging market: Does ownership structure matter? Cogent Economics & Finance, 7(1), Article 1637051. https://doi.org/10.1080/23322039.2019.1637051
Primacintya, V. A., Ma’ahury, N. E. A., Putra, S. T., & Putra, B. S. C. (2026). Firm value and stock price volatility: The moderating role of ESG performance. Jurnal Akuntansi dan Manajemen, 23(1), 73–84. https://doi.org/10.36406/jam.v23i1.287
Schwert, G. W. (1989). Why does stock market volatility change over time? The Journal of Finance, 44(5), 1115–1153. https://doi.org/10.1111/j.1540-6261.1989.tb02647.x
Shin, H.-H., & Stulz, R. M. (2000). Firm value, risk, and growth opportunities (NBER Working Paper No. 7808). National Bureau of Economic Research. https://doi.org/10.3386/w7808
Shleifer, A., & Vishny, R. W. (1986). Large shareholders and corporate control. Journal of Political Economy, 94(3, Part 1), 461–488. https://doi.org/10.1086/261385
Tobin, J. (1969). A general equilibrium approach to monetary theory. Journal of Money, Credit and Banking, 1(1), 15–29. https://doi.org/10.2307/1991374
Viratama, D. I., Hasnawati, S., & Hendrawaty, E. (2022). Free Float and volatility effect on stock liquidity in Indonesia Stock Exchange. Asian Journal of Economics, Business and Accounting, 22(23), 248–256. https://doi.org/10.9734/ajeba/2022/v22i23869
Wasiaturrahma, W., Putri, D. N., & Ajija, S. R. (2020). Impact of exchange rate volatility to stocks’ return in Indonesia: The augmented Markov-switching EGARCH approach. Jurnal Ekonomi Pembangunan: Kajian Masalah Ekonomi dan Pembangunan, 21(2), 161–173. https://doi.org/10.23917/jep.v21i2.8781
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2026 Yohanes Arts Abimanyu, Hapzi Ali
This work is licensed under a Creative Commons Attribution 4.0 International License.
Copyright :
Authors who publish their manuscripts in this journal agree to the following conditions:
- Copyright in each article belongs to the author.
- The author acknowledges that the DAR has the right to be the first to publish under a Creative Commons Attribution 4.0 International license (Attribution 4.0 International CC BY 4.0).
- Authors can submit articles separately, arrange the non-exclusive distribution of manuscripts that have been published in this journal to other versions (for example, sent to the author's institutional repository, publication in a book, etc.), by acknowledging that the manuscript has been published for the first time at DAR.
