Do foreign investors destabilize stock markets? The Korean experience in 1997

• 成果类型: Article
• 署名作者: Choe, H; Kho, BC; Stulz, RM
• 署名单位: University System of Ohio; Ohio State University; Seoul National University (SNU); National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(99)00037-9
• 发表日期: 1999
• 页码: 227-264
• 关键词: Foreign investors; positive feedback trading; herding; East Asian Crisis

摘要

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.