FOREIGN OWNERSHIP RESTRICTIONS AND STOCK-PRICES IN THE THAI CAPITAL-MARKET

• 成果类型: Article
• 署名作者: BAILEY, W; JAGTIANI, J
• 署名单位: City University of New York (CUNY) System; Baruch College (CUNY)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/0304-405X(94)90030-2
• 发表日期: 1994
• 页码: 57-87
• 关键词: international asset pricing; segmentation; capital barriers; thailand

摘要

We study the effects of barriers to capital flows using data from the Stock Exchange of Thailand, which segments local and foreign trading of securities that have reached foreign ownership limits. Cross-sectional differences between local and foreign prices are correlated with proxies for the severity of foreign ownership limits, liquidity, and information availability. Time-series variability in the spread between local and foreign returns is consistent with differences in risk exposures and expected risk premiums, suggesting effective capital market segmentation. The results have numerous implications for portfolio and direct investment activity in developing countries.