Do foreign investors destabilize stock markets? The Korean experience in 1997
Do foreign investors destabilize stock markets? The Korean experience in 1997
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DOI：
10.1016/s0304-405x(99)00037-9
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发表时间：
1999-10-01
影响因子：
8.9
通讯作者：
Stulz, RM
中科院分区：
文献类型：
--
作者：
Choe, H;Kho, BC;Stulz, RM
本文利用订单和交易数据，考察了1996年11月30日至1997年底外国投资者对韩国股票收益率的影响。我们发现了强有力的证据，正反馈交易和羊群效应的外国投资者在韩国的经济危机期间之前。在危机期间，羊群行为福尔斯下降，外国投资者的正反馈交易大多消失。我们没有发现任何证据表明，外国投资者的交易对韩国的股票市场在我们的样本期内产生了不稳定的影响。特别是，市场对外国投资者的大量抛售迅速有效地进行了调整，而且这些抛售之后没有出现负的异常回报。(C)1999年Elsevier Science S.A.保留所有权利。PACS：G11; G15; G28。
This paper examines the impact of foreign investors on stock returns in Korea from November 30, 1996 to the end of 1997 using order and trade data. We find strong evidence of positive feedback trading and herding by foreign investors before the period of Korea's economic crisis. During the crisis period, herding falls, and positive feedback trading by foreign investors mostly disappears. We find no evidence that trades by foreign investors had a destabilizing effect on Korea's stock market over our sample period. In particular, the market adjusted quickly and efficiently to large sales by foreign investors, and these sales were not followed by negative abnormal returns. (C) 1999 Elsevier Science S.A. Ah rights reserved. PACS: G11; G15; G28.