Hot money and cross-section of stock returns during the global financial crisis
Hot money and cross-section of stock returns during the global financial crisis
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DOI：
10.1016/j.iref.2017.03.022
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发表时间：
2017-07
影响因子：
4.5
通讯作者：
Daehwan Kim;Seiichiro Iwasawa
中科院分区：
文献类型：
--
作者：
Daehwan Kim;Seiichiro Iwasawa
我们研究了热钱现象中一个尚未被探索的方面：热钱在个股层面上的影响。在韩国股市，全球金融危机前的外国资本流动可以被定性为热钱。在危机前，外国投资者对某一股票的所有权的较大增加导致其对该股票的所有权的较大下降，股票价格的急剧下跌，以及危机期间股票的更大波动。我们的研究结果补充了现有的证据，某些国际资本流动的不稳定影响。
We investigate a hitherto unexplored aspect of the hot money phenomenon: the effect of hot money at the individual stock level. In the South Korean stock market, foreign capital flow right before the global financial crisis can be characterized as hot money. A larger increase in foreign investors’ ownership of a particular stock in the pre-crisis period resulted in a bigger decline in their ownership of the stock, a sharper drop in the stock's price, and higher volatility of the stock during the crisis. Our findings supplement the existing evidence for the destabilizing effect of certain international capital flows.