Herding by foreign investors and emerging market equity returns: Evidence from Korea
AbstractThis paper studies the effect of herding by foreign investors on stock returns in the Korean market. We conduct both pre and post-liberalization analyses and utilize a three-stage least squares analysis in order to control for the simultaneous relationship. We find evidence of a significant impact of foreign investor herding on stock returns in addition to intra-year positive feedback trading by foreign investors. However, changes in domestic institutional ownership do not have any significant effect on stock returns. In addition, foreign investors tend to buy/sell shares that domestic institutions sell/buy in the herding year.
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Bibliographic InfoArticle provided by Elsevier in its journal International Review of Economics & Finance.
Volume (Year): 19 (2010)
Issue (Month): 4 (October)
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Web page: http://www.elsevier.com/locate/inca/620165
Herding Feedback trading Foreign investment Emerging markets;
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