Foreign portfolio investors before and during a crisis

• 成果类型: Article
• 署名作者: Kim, W; Wei, SJ
• 署名单位: Brookings Institution; Harvard University; National Bureau of Economic Research; Korea Development Institute (KDI)
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(01)00109-X
• 发表日期: 2002
• 页码: 77-96
• 关键词: Foreign portfolio investment; CRISIS; feedback trading; herding

摘要

Using a unique data set, we study the trading behavior of foreign portfolio investors in Korea before and during the currency crisis. The central message is that investors in different categories have different trading patterns. For example, foreign investors outside Korea are more likely to engage in positive feedback trading strategies and are more likely to engage in herding than the branches I subsidiaries of foreign institutions in Korea or foreign individuals living in Korea. This difference in trading behavior is possibly related to the difference in their information. This paper suggests that it may be worth exploring policies that can encourage foreign investors to acquire more information (e.g. by setting up a branch or a subsidiary in the emerging country). (C) 2002 Elsevier Science B.V. All rights reserved.