Do foreigners facilitate information transmission in emerging markets?

• 成果类型: Article
• 署名作者: Bae, Kee-Hong; Ozoguz, Arzu; Tan, Hongping; Wirjanto, Tony S.
• 署名单位: York University - Canada; University of Texas System; University of Texas Dallas; University of Waterloo
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2012.01.001
• 发表日期: 2012
• 页码: 209-227
• 关键词: Foreign investors; Information diffusion; Investibility; Price delay; EMERGING STOCK MARKETS; financial liberalization

摘要

Using the degree of accessibility of foreign investors to emerging stock markets, or investibility, as a proxy for the extent of foreign investments, we assess whether investibility has a significant influence on the diffusion of global market information across stocks in emerging markets. We show that greater investibility reduces price delay to global market information. We also find that returns of highly investible stocks lead those of noninvestible stocks because they incorporate global information more quickly. These results are consistent with the idea that financial liberalization in the form of greater investibility yields informationally more efficient stock prices in emerging markets. (C) 2012 Elsevier B.V. All rights reserved.