Foreign equity trading and emerging market volatility: Evidence from Indonesia and Thailand

Wang, Jianxin

doi:10.1016/j.jdeveco.2006.05.001

Cited by 109 publications

(117 citation statements)

References 25 publications

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“…A simple extension of this analysis shows that broadening investor base improves the accuracy of market information and stabilises stock prices (see Wang, 2007 and the references therein). Therefore foreign purchases tend to lower volatility by increasing the investor base in emerging markets.…”

Section: Foreign and Domestic Investorsmentioning

confidence: 90%

“…In sharp contrast, foreign sales reduce investor base and increase volatility. Finally, Wang (2007) points out that trading within foreign and domestic investor groups does not change investor base, therefore does not a¤ect volatility.…”

Section: Foreign and Domestic Investorsmentioning

confidence: 99%

“…Recall that, according to Wang (2007) foreign purchases tend to stabilize stock markets-by increasing the investor base in emerging markets-especially in the …rst few years after market liberalization when foreigners are buying into local markets. The lack of an e¤ect from total volume to volatility re ‡ects the lack of a causal relation between domestic volume and volatility.…”

Section: Volume-volatility Linkmentioning

confidence: 99%

“…The lack of an e¤ect from total volume to volatility re ‡ects the lack of a causal relation between domestic volume and volatility. It is noteworthy that the theoretical underpinnings (see Wang, 2007) predict that trading within domestic investor groups does not change investor base, therefore does not a¤ect volatility.…”

Section: Volume-volatility Linkmentioning

confidence: 99%

“…Wang (2007) argues that foreign purchases tend to lower volatility, especially in the …rst few years after market liberalization when foreigners are buying into local markets. In sharp contrast foreign sales increase volatility.…”

mentioning

confidence: 99%

See 4 more Smart Citations

Dual long-memory, structural breaks and the link between turnover and the range-based volatility

Karanasos

Kartsaklas

2009

Journal of Empirical Finance

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Section: Foreign and Domestic Investorsmentioning

confidence: 90%

Section: Foreign and Domestic Investorsmentioning

confidence: 99%

Section: Volume-volatility Linkmentioning

confidence: 99%

Section: Volume-volatility Linkmentioning

confidence: 99%

mentioning

confidence: 99%

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Dual long-memory, structural breaks and the link between turnover and the range-based volatility

Karanasos

Kartsaklas

2009

Journal of Empirical Finance

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Foreign investor dominance and low domestic investor absorption capacity: Implications on capital outflows

2020

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This study puts forward the increased share of foreign investors as a potential stabilizer for local financial markets, especially equity markets, because domestic investors' weak absorption capacity may create liquidity constraints acting as an obstacle for foreign investor. We pin down the effects of foreign investor dominance based on a detailed stock‐ownership data. Our findings suggest that in emerging financial markets with high foreign investor ownership and low absorption capacity of domestic investors, capital outflows might be staggered, and this phenomenon might reduce the probability of large and sudden depreciation of local currencies.

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Investors' trading behaviour and stock market volatility during crisis periods: A dual long‐memory model for the Korean Stock Exchange

et al. 2020

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This study examines the impact of investors’ buy and sell trades on Korean stock market volatility across two crisis events, the Asian crisis of 1997 and the 2008 global financial crash. We investigate the trading behaviour of domestic vs. foreign and institutional vs. individual investors. Our results suggest that the buy and sell trades have an asymmetric effect on volatility that depends on the type of investor trading and on the phase of the business cycle. Buy orders appear to be more informative than sell orders since they mostly lower volatility in the pre‐crisis periods, while sell and post‐crisis buy trades affect volatility positively regardless of who trades (institutional or individual investors) and on what information (member, non‐member). Most importantly, decomposing total buy and sell trades into trader‐type categories reveals that some institutional investors are more informed traders that stabilize the market compared to individuals that always increase volatility. Foreign investors reduce volatility with their purchases and total trading activity in the whole Asian crisis sample, but only in the pre‐crisis period before the recent global financial turmoil.

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Foreign equity trading and emerging market volatility: Evidence from Indonesia and Thailand

Cited by 109 publications

References 25 publications

Dual long-memory, structural breaks and the link between turnover and the range-based volatility

Dual long-memory, structural breaks and the link between turnover and the range-based volatility

Foreign investor dominance and low domestic investor absorption capacity: Implications on capital outflows

Investors' trading behaviour and stock market volatility during crisis periods: A dual long‐memory model for the Korean Stock Exchange

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