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Inter-temporal examination of the trading activities of foreign investors in the Korean stock market

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  • Kim, Jaemin
  • Landi, James
  • Yoo, Sean Sehyun
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    Abstract

    In the full market-opening period of the Korean stock market (1999-2006), when foreign equity ownership reached as high as 40% of the total stock market capitalization, foreign net flows move in the same direction contemporaneously with the domestic market return, while lagged foreign flows are not followed by any significant changes in the domestic market return. On the other hand, an increase (decrease) in foreign net buy is followed by Won appreciation (depreciation) relative to the US dollar; however, the reverse relation does not hold. Throughout the entire sample period (1995-2006), foreign flows are not significantly related to stock market return volatility.

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    Bibliographic Info

    Article provided by Elsevier in its journal Pacific-Basin Finance Journal.

    Volume (Year): 17 (2009)
    Issue (Month): 2 (April)
    Pages: 243-256

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    Handle: RePEc:eee:pacfin:v:17:y:2009:i:2:p:243-256

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    Web page: http://www.elsevier.com/locate/pacfin

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    Keywords: Foreign investors Market volatility Trading strategies;

    References

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    Cited by:
    1. Ülkü, Numan & Weber, Enzo, 2013. "Identifying the interaction between stock market returns and trading flows of investor types: Looking into the day using daily data," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2733-2749.
    2. Evren Arik & Elif Mutlu, 2014. "Global Risk Aversion, the Benchmark Index and the Foreign Investors: The case of Borsa Istanbul," Working Paper 08, Research and Business Development Department, Borsa Istanbul.
    3. Ülkü, Numan & Karpova, Yekaterina, 2014. "Do international equity investors rebalance to manage currency exposure? A study of Greece foreign investor flows data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 150-169.
    4. repec:bor:wpaper:1308 is not listed on IDEAS

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